All Questions
Tagged with best-practices forecasting
2 questions
3
votes
1
answer
325
views
Effect of back-transforming forecasted mean of log returns to get forecasted mean of price
When trying to forecast time series, say forecasting the level of a stock index so we can forecast the future values of an option, it tends to be helpful to analyze the log returns versus the original ...
- 249
23
votes
5
answers
26k
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Why are GARCH models used to forecast volatility if residuals are often correlated?
The answers to this question on forecast assessment suggest that if the sequence of residuals from the forecast are not properly independent, then the model is missing something and further changes ...
- 757