307 reputation
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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...


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