GARCH Models have become a workhouse in volatility forecasting of financial and monetary market time series. In this article, we assess the small sample properties in estimation and the performance in volatility forecasting of four competing distribution free methods, including quasi-maximum...

Nonlinear autoregressive Markov regime-switching models are intuitive and frequently proposed time series approaches for the modelling of electricity spot prices. In this paper such models are compared to an ordinary linear autoregressive model with regard to their forecast performance. The...