Two are better than one: volatility forecasting using multiplicative component GARCH‐MIDAS models
We examine the properties and forecast performance of multiplicative volatility specifications that belong to the class of generalized autoregressive conditional heteroskedasticity-mixed‐data sampling (GARCH‐MIDAS) models suggested in Engle, Ghysels, and Sohn (Review of Economics and Statistics, 201...
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| Main Authors: | , |
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| Format: | Article (Journal) |
| Language: | English |
| Published: |
2020
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| In: |
Journal of applied econometrics
Year: 2019, Volume: 35, Issue: 1, Pages: 19-45 |
| ISSN: | 1099-1255 |
| DOI: | 10.1002/jae.2742 |
| Online Access: | Verlag, lizenzpflichtig, Volltext: https://doi.org/10.1002/jae.2742 Verlag, lizenzpflichtig, Volltext: https://onlinelibrary.wiley.com/doi/10.1002/jae.2742 
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| Author Notes: | Christian Conrad, Onno Kleen |
| Summary: | We examine the properties and forecast performance of multiplicative volatility specifications that belong to the class of generalized autoregressive conditional heteroskedasticity-mixed‐data sampling (GARCH‐MIDAS) models suggested in Engle, Ghysels, and Sohn (Review of Economics and Statistics, 2013, 95, 776–797). |
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| Item Description: | First published: 02 November 2019 Gesehen am 18.01.2021 |
| Physical Description: | Online Resource |
| ISSN: | 1099-1255 |
| DOI: | 10.1002/jae.2742 |