Forecasting volatility
Posted: Tue Feb 13, 2018 9:26 am
Hello everyone!
I am writing my thesis on forecasting volatility with GARCH , asymmetric CGARCH and TGARCH in 1-step, 5-step and 20-step assuming normal and student-t distribution and using 2 estimation windows.
I want to discuss about the link between heteroscedasticity and fat tails and also why distribution changes mainly effect the long-run.
Can you help me either by providing some relevant papers or sharing some ideas? I would be really grateful!
I am writing my thesis on forecasting volatility with GARCH , asymmetric CGARCH and TGARCH in 1-step, 5-step and 20-step assuming normal and student-t distribution and using 2 estimation windows.
I want to discuss about the link between heteroscedasticity and fat tails and also why distribution changes mainly effect the long-run.
Can you help me either by providing some relevant papers or sharing some ideas? I would be really grateful!