In conditionally heteroskedastic models, the optimal prediction of powers, or logarithms, of the absolute value has a simple expression in terms of the volatility and an expectation involving the independent process. A natural procedure for estimating this prediction is to estimate the...

In conditionally heteroskedastic models, the optimal prediction of powers, or logarithms, of the absolute process has a simple expression in terms of the volatility process and an expectation involving the independent process. A standard procedure for estimating this prediction is to estimate...