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Results tagged with garch
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user 62408
Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model is used for time series in which the conditional variance is time-varying and autocorrelated. The conditional variance is a linear combination of lagged conditional variances and lagged squared errors. The conditional variance equation in GARCH models is deterministic, in contrast to Stochastic Volatility (SV) models.
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Long-run volatility forecast of a GARCH(1,1)
Can I assume that "the long run volatility forecast of a GARCH(1,1) is higher in periods of high volatility than in periods of low volatility? …
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