This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models such as Generalized Autoregressive Conditional...

Accurate forecasting of changes in stock market indices can provide financial managers and individual investors with strategically valuable information. However, predicting the closing prices of stock indices remains a challenging task because stock price movements are characterized by high...