File(s) under permanent embargo
Assessing Volatility Forecasting Models: Why GARCH Models Take the Lead
journal contribution
posted on 2023-05-18, 09:15 authored by Matei, MThe paper provides a critical assessment of the main forecasting techniques and an evaluation of the superiority of the more advanced and complex models. Ultimately, its scope is to offer support for the rationale behind of an idea: GARCH is the most appropriate model to use when one has to evaluate the volatility of the returns of groups of stocks with large amounts (thousands) of observations. The appropriateness of the model is seen through a unidirectional perspective of the quality of volatility forecast provided by GARCH when compared to any other alternative model, without considering any cost component.
History
Publication title
Romanian Journal of Economic ForecastingVolume
12Issue
4Pagination
42-65ISSN
1582-6163Department/School
TSBEPublisher
Institute of Economic Forecasting, Romanian AcademyPlace of publication
BucharestRights statement
Copyright 2009 Institute for Economic ForecastingRepository Status
- Restricted