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- 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.