Assessing Volatility Forecasting Models: Why GARCH Models Take the Lead
journal contribution
posted on 2023-05-18, 09:15authored byMatei, M
The 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 Forecasting
Volume
12
Issue
4
Pagination
42-65
ISSN
1582-6163
Department/School
TSBE
Publisher
Institute of Economic Forecasting, Romanian Academy
Place of publication
Bucharest
Rights statement
Copyright 2009 Institute for Economic Forecasting
Repository Status
Restricted
Socio-economic Objectives
Measurement standards and calibration services not elsewhere classified