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by Kristof1992
Wed Jul 01, 2015 1:47 am
Forum: Estimation
Topic: GARCH(1,1) Forecast Series
Replies: 19
Views: 23572

Re: GARCH(1,1) Forecast Series

What do you mean by choose a different model ? I for example want to use the forecast of the conditional variances to apply them to a Value at risk model. If this would mean that the forecast is a constant, my Value at risk calculations will be pretty useless.

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