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Volatility bias in the GARCH model: a simulation study

Author

Listed:
  • Eduardo Acosta González
  • Fernando Fernández Rodríguez
  • Jorge Pérez Rodríguez

Abstract

In this paper we show that the conditional variance of the GARCH(1,1) model is a measure that usually overstimates the magnitude of volatility in time series.

Suggested Citation

  • Eduardo Acosta González & Fernando Fernández Rodríguez & Jorge Pérez Rodríguez, 2002. "Volatility bias in the GARCH model: a simulation study," Documentos de trabajo conjunto ULL-ULPGC 2002-02, Facultad de Ciencias Económicas de la ULPGC.
    • Handle: RePEc:can:series:2002-02
    as

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    References listed on IDEAS

    as
    1. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    2. Engle, Robert F & Gonzalez-Rivera, Gloria, 1991. "Semiparametric ARCH Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(4), pages 345-359, October.
    3. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    GARCH models; prediction; bias;
    All these keywords.

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