307 reputation
210
bio website kaybensoft.com
location Ireland
age 37
visits member for 3 years, 8 months
seen Oct 15 at 19:03

Software Developer in Ireland, who is fond of asking questions...


Mar
16
awarded  Popular Question
Dec
10
awarded  Nice Question
Sep
2
awarded  Popular Question
Jul
16
awarded  Notable Question
Jan
31
awarded  Yearling
Nov
5
awarded  Popular Question
Apr
7
awarded  Nice Question
Mar
9
awarded  Scholar
Mar
9
accepted Why are GARCH models used to forecast volatility if residuals are often correlated?
Mar
9
accepted Is there a standard method for getting a continuous time series from futures data?
Mar
9
accepted What type of analysis is appropriate for assessing the performance time-series forecasts?
Feb
26
comment Why are GARCH models used to forecast volatility if residuals are often correlated?
It has been my experience that forecast residuals exhibit strong serial correlation. Quite a few papers discuss this issue as a very common problem with forecast assessment. See papers.ssrn.com/sol3/papers.cfm?abstract_id=331800
Feb
25
revised Why are GARCH models used to forecast volatility if residuals are often correlated?
edited tags
Feb
25
asked Why are GARCH models used to forecast volatility if residuals are often correlated?
Feb
14
awarded  Nice Question
Feb
10
asked Is there a standard method for getting a continuous time series from futures data?
Jan
31
awarded  Student
Jan
31
awarded  Supporter
Jan
31
asked What type of analysis is appropriate for assessing the performance time-series forecasts?
Jan
31
awarded  Autobiographer