Volatility forecasting based on SMA-Realized AHAR GARCH CICSI model

DOI10.12460/J.ISSN.1001-4268.APS.2026.2024103MaRDI QIDQ7364847zbMATH OpenFDO

Authors Xiaonan Su, Xiaotong Li, Wei Wang

Publication date 2 October 2026

Published in Chinese Journal of Applied Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.12460/J.ISSN.1001-4268.APS.2026.2024103

Mathematics Subject Classification ID

Point estimation (62F10)

Cites work

• Approximately normal tests for equal predictive accuracy in nested models
• Generalized autoregressive conditional heteroscedasticity
• Microstructure Noise, Realized Variance, and Optimal Sampling
• The Model Confidence Set

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