|visits||member for||3 years, 10 months|
|seen||Oct 15 at 19:03|
Software Developer in Ireland, who is fond of asking questions...
|bio||website||kaybensoft.com||visits||member for||3 years, 10 months|
|location||Ireland||seen||Oct 15 at 19:03|
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