Neele, J.

model temperature volatility garch garch model forecasting variance observation dutch temperature data estimate series parameter table summer function section nonlinear garch models winter journal impact value asymmetry paper result feature erasmus university rotterdam netherland dutch nonlinear return qgarch model figure engle estimation qgarch bollerslev temperature data variation temperature series forecast deviation regression autoregressive residual rotterdam in-sample estimation results performance error qgarch-ii franse sample kurtosi correlation measure qgarch-i out-of-sample panel kernel qgarch-ii model outlier institute skewnes university bandwidth h evidence hold-out sample time series model erasmu parameter estimates cleveland 5 years 0 1 2 nonlinear garch model in-sample nonparametric stock persistence nikkei sentana variance equation