Hyung, Namwon; Poon, Ser-Huang; Granger, Clive W.J. - In: Forecasting in the presence of structural breaks and …, (pp. 329-380). 2008
This paper compares the out-of-sample forecasting performance of three long-memory volatility models (i.e., fractionally integrated (FI), break and regime switching) against three short-memory models (i.e., GARCH, GJR and volatility component). Using S&P 500 returns, we find that structural...
