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Assessing Volatility Forecasting Models: Why GARCH Models Take the Lead
journal contributionposted on 2023-05-18, 09:15 authored by Matei, 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.
Publication titleRomanian Journal of Economic Forecasting
PublisherInstitute of Economic Forecasting, Romanian Academy
Place of publicationBucharest
Rights statementCopyright 2009 Institute for Economic Forecasting