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Formats:
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mat
Publication Year:
2005
Journals:
Journal of Applied Econometrics
Peter Reinhard Hansen
;
Asger Lunde
A forecast comparison of volatility models: does anything beat a GARCH(1,1)? ...
We compare 330 ARCH-type models in terms of their ability to describe the conditional variance. The models are compared out-of-sample using DM?$ exchange rate data and IBM...
DOI:10.15456/jae.2022319.0710682229
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