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Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been … employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which … can generate a plausible disaggregation of the conditional variance process, in which the components' volatility dynamics …
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Volatility (SV) and Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models which are both extended to include … improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source … for longer horizon volatility forecasts. In this paper we explore the forecasting value of these high fre-quency series in …
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prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … forecasts are produced by a realized range based HAR model with a GARCH volatility-of-volatility component. … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array …
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