Is GARCH(1,1) as good a model as the Nobel prize accolades would imply?
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References listed on IDEAS
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More about this item
Keywordsstock returns; volatility; Garch(1; 1); non-stationarities; unconditional time-varying volatility; IGARCH effect; longer-horizon forecasts;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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