Forecast Combinations for Structural Breaks in Volatility: Evidence from BRICS Countries

Forecast Combinations for Structural Breaks in Volatility: Evidence from BRICS Countries

The aim of this paper is to investigate the relevance of structural breaks for forecasting the volatility of daily returns on BRICS countries (Brazil, Russia, India, China and South Africa). The data set used in the analysis is the Morgan Stanley Capital International MSCI daily returns and covers t...

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Bibliographic Details
Main Author: Davide De Gaetano
Format: Article
Language:English
Published: MDPI AG 2018-10-01
Series:Journal of Risk and Financial Management
Subjects:
structural breaks
forecast combinations
GARCH model
out-of-sample forecasts
Online Access:http://www.mdpi.com/1911-8074/11/4/64

Internet

http://www.mdpi.com/1911-8074/11/4/64

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