The Relative Performance of Conditional Volatility Models - An Empirical Evaluation on the Nordic Equity Markets
By regressing volatility series of equity returns on macroeconomic variables using data from the Nordic countries, three conditional volatility models are evaluated on their ability to capture effects of long-run volatility shocks. In addition, the same models' short-run forecasting performance is tested by employing a rolling window approach. The results suggest that none of the models are su