Volatility bias in the GARCH model: a simulation study

Autor:	Eduardo Acosta González, Fernando Fernández Rodríguez, Jorge Pérez Rodríguez
Rok vydání:	2002
Předmět:	GARCH models prediction bias
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=od_______645::5a0bc917fd474becfaecc90cb759a477 Zobrazit plný text záznamu