{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,14]],"date-time":"2026-10-14T01:50:58Z","timestamp":1791942658074,"version":"4.3.4"},"reference-count":57,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2020,1,13]],"date-time":"2020-01-13T00:00:00Z","timestamp":1578873600000},"content-version":"vor","delay-in-days":12,"URL":"http:\/\/creativecommons.org\/licenses\/by-nc\/4.0\/"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2020,1]]},"abstract":"<jats:title>Summary<\/jats:title>\n                  <jats:p>\n                    We examine the properties and forecast performance of multiplicative volatility specifications that belong to the class of generalized autoregressive conditional heteroskedasticity\u2013mixed\u2010data sampling (GARCH\u2010MIDAS) models suggested in Engle, Ghysels, and Sohn (\n                    <jats:italic>Review of Economics and Statistics<\/jats:italic>\n                    , 2013,\n                    <jats:italic>95<\/jats:italic>\n                    , 776\u2013797). In those models volatility is decomposed into a short\u2010term GARCH component and a long\u2010term component that is driven by an explanatory variable. We derive the kurtosis of returns, the autocorrelation function of squared returns, and the\n                    <jats:italic>R<\/jats:italic>\n                    <jats:sup>2<\/jats:sup>\n                    of a Mincer\u2013Zarnowitz regression and evaluate\u00a0the QMLE and forecast performance of these models in a Monte Carlo simulation. For S&amp;P 500 data, we compare the forecast performance of GARCH\u2010MIDAS models with a wide range of competitor models such as HAR (heterogeneous autoregression), realized GARCH, HEAVY (high\u2010frequency\u2010based volatility) and Markov\u2010switching GARCH. Our results show that the GARCH\u2010MIDAS based on housing starts as an explanatory variable significantly outperforms all competitor models at forecast horizons of 2 and 3 months ahead.\n                  <\/jats:p>","DOI":"10.1002\/jae.2742","type":"journal-article","created":{"date-parts":[[2019,11,2]],"date-time":"2019-11-02T06:43:23Z","timestamp":1572677003000},"page":"19-45","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":140,"title":["Two are better than one: Volatility forecasting using multiplicative component GARCH\u2010MIDAS models"],"prefix":"10.1002","volume":"35","author":[{"given":"Christian","family":"Conrad","sequence":"first","affiliation":[{"name":"Department of Economics Heidelberg University Heidelberg Germany"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Onno","family":"Kleen","sequence":"additional","affiliation":[{"name":"Department of Economics Heidelberg University Heidelberg Germany"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2020,1,13]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.4324\/9781315162737-10"},{"key":"e_1_2_8_3_1","series-title":"(SSE\/EFI Working Paper Series in Economics and Finance 691)","volume-title":"Modelling conditional and unconditional heteroskedasticity with smoothly time\u2010varying structure","author":"Amado C.","year":"2008"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2013.03.006"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474938.2014.977064"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00181-016-1069-5"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527343"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00418"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2005.00572.x"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.2256"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(95)01749-6"},{"key":"e_1_2_8_12_1","volume-title":"Probability and Measure","author":"Billingsley P.","year":"1995"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhy041"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2019.1614653"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.3390\/jrfm11020023"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2404"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2014.03.009"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2018.1482759"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbp001"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2012.663261"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1257\/jel.49.1.72"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392185"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(95)01737-2"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/0927-5398(93)90006-D"},{"key":"e_1_2_8_25_1","doi-asserted-by":"crossref","unstructured":"Dominicy Y. &Vander Elst H.(2015).Macro\u2010driven VAR forecasts: From very high to very low\u2010frequency data. Available at SSRN:https:\/\/ssrn.com\/abstract=2701256","DOI":"10.2139\/ssrn.2701256"},{"key":"e_1_2_8_26_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109016000442"},{"key":"e_1_2_8_27_1","doi-asserted-by":"publisher","DOI":"10.1162\/REST_a_00300"},{"key":"e_1_2_8_28_1","doi-asserted-by":"crossref","first-page":"475","DOI":"10.1093\/oso\/9780198296836.003.0020","volume-title":"Cointegration, causality, and forecasting: A Festschrift in honour of Clive WJ Granger","author":"Engle R. F.","year":"1999"},{"key":"e_1_2_8_29_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/hhn004"},{"key":"e_1_2_8_30_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466617000512"},{"key":"e_1_2_8_31_1","unstructured":"Ghalanos A.(2018).rugarch: Univariate GARCH models. R package version 1.4\u20100. Available on CRAN:https:\/\/cran.r-project.org\/package=rugarch"},{"key":"e_1_2_8_32_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2006.00718.x"},{"key":"e_1_2_8_33_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb05128.x"},{"key":"e_1_2_8_34_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbh020"},{"key":"e_1_2_8_35_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbt023"},{"key":"e_1_2_8_36_1","unstructured":"Han H. &Kristensen D.(2015).Semiparametric multiplicative GARCH\u2010X model: Adopting economic variables to explain volatility.Toulouse France: Toulouse School of Economics."},{"key":"e_1_2_8_37_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2014.05.016"},{"key":"e_1_2_8_38_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1234"},{"key":"e_1_2_8_39_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.01.005"},{"key":"e_1_2_8_40_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466613000121"},{"key":"e_1_2_8_41_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA5771"},{"key":"e_1_2_8_42_1","volume-title":"Oxford\u2010Man Institute's Realized Library","author":"Heber G.","year":"2009"},{"key":"e_1_2_8_43_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2004.09.005"},{"key":"e_1_2_8_44_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(98)00032-3"},{"key":"e_1_2_8_45_1","unstructured":"Kleen O.(2017).alfred: Downloading time series from ALFRED database for various vintages. R package version 0.1.7. Available on CRAN:https:\/\/cran.r-project.org\/package=alfred"},{"key":"e_1_2_8_46_1","unstructured":"Kleen O.(2018).mfGARCH: Mixed\u2010frequency GARCH models. R package version 0.1.8. Available on CRAN:https:\/\/cran.r-project.org\/package=mfGARCH"},{"key":"e_1_2_8_47_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2012.08.004"},{"key":"e_1_2_8_48_1","unstructured":"Lindblad A.(2017).Sentiment indicators and macroeconomic data as drivers for low\u2010frequency stock market volatility.(Discussion Paper No.413).Helsinki Finland: Helsinki Center of Economic Research."},{"key":"e_1_2_8_49_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2015.02.008"},{"key":"e_1_2_8_50_1","first-page":"3","volume-title":"Economic forecasts and expectations: Analysis of forecasting behavior and performance","author":"Mincer J.","year":"1969"},{"key":"e_1_2_8_51_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2014.10.003"},{"key":"e_1_2_8_52_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jempfin.2017.06.005"},{"key":"e_1_2_8_53_1","doi-asserted-by":"crossref","unstructured":"Patton A. J.(2006).Volatility forecast comparison using imperfect volatility proxies. (Research Paper 175).Sydney Australia: Quantitative Finance Research Centre University of Technology Sydney.","DOI":"10.2139\/ssrn.932890"},{"key":"e_1_2_8_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.034"},{"key":"e_1_2_8_55_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-540-71297-8_36"},{"key":"e_1_2_8_56_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2012.06.005"},{"key":"e_1_2_8_57_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1158"},{"key":"e_1_2_8_58_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466614000334"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.2742","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2742","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/jae.2742","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2742","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,7,26]],"date-time":"2024-07-26T00:21:25Z","timestamp":1721953285000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.2742"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2020,1]]},"references-count":57,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2020,1]]}},"alternative-id":["10.1002\/jae.2742"],"URL":"https:\/\/doi.org\/10.1002\/jae.2742","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2020,1]]},"assertion":[{"value":"2018-03-14","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-08-14","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2020-01-13","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}