Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts?
Year of publication: |
2005-08-02
|
---|---|
Authors: | Starica, Catalin ; Herzel, Stefano ; Nord, Tomas |
Institutions: | EconWPA |
Subject: | stock returns | volatility forecasting | GARCH(1 | 1) | IGARCH effect | hedging | non-stationary | longer horizon forecasting |
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