A time-varying long run HEAVY model

Braione, Manuela
(2016) Statistics & Probability Letters — Vol. 119, p. 36-44 (2016)

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  • Braione, ManuelaUCLouvain
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Abstract
We propose a scalar variation of the multivariate HEAVY model of Noureldin et al. (2012) featuring a time-varying long run (co)volatility component coupled with DCC dynamics. The new model outperforms the original HEAVY model by delivering more accurate multi-step-ahead predictions
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Braione, M. (2016). A time-varying long run HEAVY model. Statistics & Probability Letters, 119, 36-44. https://doi.org/10.1016/j.spl.2016.07.006 (Original work published 2016)