We propose a flexible GARCH-type model for the prediction of volatility in financial time series. The approach relies on the idea of using multivariate B-splines of lagged observations and volatilities. Estimation of such a B-spline basis expansion is constructed within the likelihood framework...

We propose a flexible GARCH-type model for the prediction of volatility in financial time series. The approach relies on the idea of using multivariate B-splines of lagged observations and volatilities. Estimation of such a B-spline basis expansion is constructed within the likelihood framework...

We provide new empirical evidence on volatility forecasting in relation to asymmetries present in the dynamics of both return and volatility processes. Leverage and volatility feedback effects of the S&P 500 price and volatility dynamics are examined using recently developed methodologies to...