Supremacy of realized variance MIDAS egression in volatility forecasting of mutual funds: empirical evidence from Malaysia
Combining the strength of both Mixed Data Sampling (MIDAS) Regression and realized variance measures, this paper seeks to investigate two objectives: (1) evaluate the post-sample performance of the proposed weekly Realized Variance-MIDAS (RVar-MIDAS) in one-week ahead volatility forecasting against...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Published: |
Korea Institute of Science and Technology Information
2022
|
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|