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- W197991763 abstract "This paper investigates the out-of-sample performance of several models that predict unobserved conditional variance. The models that are considered are the HEAVY, RealGARCH(1,1) and the RealEGARCH(1,1) model. These models are also extended, using the squared daily return as extra regressor and adding an indicator function for negative returns multiplied with the realized measure. With these models, forecasts are made and compared with two benchmark models, being the GARCH(1,1) model and the HAR-3 model. The loss function that is used to compare these models is the QLIKE loss function, with the squared daily returns, realized variance and realized kernel as a proxy. The data that are considered, are the indices of the FTSE100, DAX30, CAC40, AEX, SSMI, IBEX35 and the EUROSTOXX50 from January 2000 to March 2014. It turns out that the models using realized measures do not beat the benchmark models out-of-sample for most of the models. The only models that beat the HAR(3)-RV benchmark model regularly are the forecast combinations based on the in-sample discounted MSPE, for the 21-day ahead forecasts. Another major conclusion is that the extension of the models with the squared daily return and the non-linear models do not perform better than the standard models out-of-sample." @default.
- W197991763 created "2016-06-24" @default.
- W197991763 creator A5051322871 @default.
- W197991763 date "2014-08-29" @default.
- W197991763 modified "2023-09-27" @default.
- W197991763 title "HEAVY and Realized (E)GARCH models" @default.
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