期刊
ECONOMICS LETTERS
卷 117, 期 2, 页码 528-532出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.econlet.2012.05.037
关键词
Mixed Data Sampling regression model; Conditional volatility forecasting; Emerging markets
类别
This paper evaluates weekly out-of-sample volatility forecast performance of univariate Mixed Data Sampling (MIDAS) model compared to the benchmark model of GARCH(1,1) for ten emerging stock markets. The results show that the MIDAS model offers a statistically better forecasting precision during the recent financially turbulent era, based on the test suggested by West (2006). For the tranquil period, however. the MIDAS model cannot produce a statistically better weekly volatility forecast. (C) 2012 Elsevier B.V. All rights reserved.
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