Volatility Estimation and Forecasting During Crisis Periods: A Study Comparing GARCH Models with Semiparametric Additive Models
In this paper, we compare semiparametric additive models with GARCH models in terms of their capability to estimate and forecast volatility during crisis periods. Our Monte Carlo studies indicate a better performance for GARCH models when their functional forms do not differ from that of the specifi...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Brazilian Society of Finance
2012-04-01
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| Series: | Revista Brasileira de Finanças |
| Subjects: | |
| Online Access: | http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/3321/2451 |