Enhancing stock volatility prediction with the AO-GARCH-MIDAS model

• Main Authors: Liu, Ting, Choo, Weichong, Tunde, Matemilola Bolaji, Wan, Cheongkin, Liang, Yifan
• Format: Article
• Language: English
• Published: Public Library of Science 2024
• Online Access: http://psasir.upm.edu.my/id/eprint/113480/1/113480.pdf; http://psasir.upm.edu.my/id/eprint/113480/; https://journals.plos.org/plosone/article?id=10.1371/journal.pone.0305420

Research has substantiated that the presence of outliers in data usually introduces additional errors and biases, which typically leads to a degradation in the precision of volatility forecasts. However, correcting outliers can mitigate these adverse effects. This study corrects the additive outlier...