Realized GARCH-EVT models outperform standard models in stock market forecasting
The study introduces a new method called Realized GARCH-EVT to predict future stock market risks. By combining two statistical models, researchers found that the Realized GARCH-EVT models generally perform better than traditional models. Surprisingly, the specific way they measured volatility didn't affect the accuracy of their predictions. This study is one of the first to use this approach and compare different ways of measuring volatility in forecasting stock market risks.