The forecasting performance of the high-frequency volatility models based on jumps, good-bad volatility and Markov regime-switching (Q5143586)
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scientific article; zbMATH DE number 7295813
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| English | The forecasting performance of the high-frequency volatility models based on jumps, good-bad volatility and Markov regime-switching |
scientific article; zbMATH DE number 7295813 |
Statements
14 January 2021
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jumps
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good-bad volatility
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Markov regime-switching
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volatility forecasting
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MCS test
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0.7991900444030762
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0.7720872759819031
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0.7681716084480286
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0.7602812051773071
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0.7600716352462769
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