Forecasting the return volatility of energy prices: a GARCH-MIDAS approach
(2020)
Book Chapter
Salisu, A. A., & Swaray, R. (2020). Forecasting the return volatility of energy prices: a GARCH-MIDAS approach. In S. Goutte, & D. K. Nguyen (Eds.), Handbook of energy finance: Theories, practices and simulations (47-71). World Scientific Publishing. https://doi.org/10.1142/11213
This chapter offers an extension to the literature on energy prices by forecasting the return volatility of these prices using the GARCH-MIDAS approach. In addition to the realized volatility, it also evaluates the predictability of relevant macroeco... Read More about Forecasting the return volatility of energy prices: a GARCH-MIDAS approach.