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A time-varying long run HEAVY model

Manuela Braione

Statistics & Probability Letters, 2016, vol. 119, issue C, 36-44

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.

Keywords: HEAVY model; DCC; Long term models; Distributed lag; Direct forecasting (search for similar items in EconPapers)
Date: 2016
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Handle: RePEc:eee:stapro:v:119:y:2016:i:c:p:36-44