January 1974
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33,490 Citations
IEEE Transactions on Automatic Control
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... Once estimated, the models produce conditional volatility forecasts that are evaluated using model selection criteria such as the Bayesian Information Criterion (BIC), Akaike Information Criterion (AIC), and log-likelihood. Lower BIC and AIC values indicate a more parsimonious model with better out-of-sample forecasting performance (Akaike, 1974;Schwarz, 1978). ...
- Citing Article
January 1974
IEEE Transactions on Automatic Control