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by SER-HUANG POON and CLIVE W. J. GRANGER1
VOLATILITY FORECASTING IS AN important task in financial markets, and it has held the attention of academics and practitioners over the last two decades. At the time of writing, there are at least 93 published and working papers that study forecasting performance of various volatility models, and several times that number have been written on the subject of volatility modelling without the forecasting aspect. This extensive research reflects the importance of volatility in
investment, security valuation, risk management,
and monetary policy making.