|visits||member for||3 years, 8 months|
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Software Developer in Ireland, who is fond of asking questions...
|bio||website||kaybensoft.com||visits||member for||3 years, 8 months|
|location||Ireland||seen||48 mins ago|
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