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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...

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書誌詳細
主要な著者:	Wan, Cheong Kin, Choo, Wei Chong, Ho, Jen Sim
フォーマット:	論文
出版事項:	Korea Institute of Science and Technology Information 2022
オンライン･アクセス:	http://psasir.upm.edu.my/id/eprint/103363/ https://koreascience.kr/article/JAKO202220659765413.page
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