Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
This paper evaluates weekly out-of-sample volatility forecast performance of univariate Mixed Data Sampling (MIDAS) model compared to the benchmark model of GARCH(1,1) for ten emerging stock markets. The results show that the MIDAS model offers a statistically better forecasting precision during the recent financially turbulent era, based on the test suggested by West (2006). For the tranquil period, however, the MIDAS model cannot produce a statistically better weekly volatility forecast.