Lehnert, Thorsten; Frijns, Bart; Zwinkels, Remco C.J. - Luxembourg School of Finance, Faculté de droit, … - 2010
GARCH-type models have been very successful in describing the volatility dynamics of financial return series for short … persistence or shock term in a GARCH model, conditional on their relative ability to forecast a benchmark volatility measure, the … switching reinforces the persistent nature of the GARCH model. Estimation of this benchmark volatility targeting or BVTGARCH …