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The Factor–Spline–GARCH Model for High and Low Frequency Correlations

✍ Scribed by Rangel, José Gonzalo; Engle, Robert F.

Book ID
120510190
Publisher
American Statistical Association
Year
2012
Tongue
English
Weight
616 KB
Volume
30
Category
Article
ISSN
0735-0015

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## ABSTRACT Volatility forecasting remains an active area of research with no current consensus as to the model that provides the most accurate forecasts, though Hansen and Lunde (2005) have argued that in the context of daily exchange rate returns nothing can beat a GARCH(1,1) model. This paper ex