Economics, Econometrics and Finance
4 years ago

New model predicts stock market volatility with unprecedented accuracy

RePEc: Research Papers in Economics
Long memory and nonlinearities in realized volatility: a Markov switching approach
Silvano Bordignon, Davide Raggi

Paper Summary

The article analyzes and predicts volatility by using a model that includes long memory and nonlinearities. The researchers found that these factors significantly improve the accuracy of their forecasts compared to other models.

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