Evaluation of GARCH-MIDAS Volatility Models
The study cautions that data-mining bias can skew forecasts and that the contribution of macro-variables in forecasting total variance by GARCH-MIDAS models is exaggerated.
Featured in No. 40 on 13 Mar 2024 · on release day
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- 13 Mar 2024
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- No. 40 · 13 Mar 2024
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- RePEc:taf:eurjfi:v:30:y:2024:i:6:p:575-596
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