Are there any papers that make an explicit contrast/comparison of the following (or other) vol models in terms of the suitability for addressing some empirical problem? Wavelet multiresolution ...
What makes GARCH(1,1) so prevalent in modeling especially in academia? What does this model has that is significantly better than the others?
I have a question about the prediction of volatility and returns of a time series. Basically it is a question about prediction in the ...