Observable vs Latent Markov Chains for Volatility
The latent-regime Betat-EGARCH model outperforms the observable-regime Betat-EGARCH model in in-sample statistical performance, but their out-of-sample density forecasting performances are similar.
Featured in No. 35 on 30 Jan 2024 · 5 days after release
- Released
- 25 Jan 2024
- First featured
- No. 35 · 30 Jan 2024
- Published in
- Not yet, as far as Semantic Scholar knows
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- Identifier
- SSRN 4706972
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