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- Fri Jun 19, 2015 6:17 am
- Forum: Econometric Discussions
- Topic: GARCH (1,1)
- Replies: 0
- Views: 1720
GARCH (1,1)
Hi, I am currently doing my dissertation on forecasting volatility but I am having some basic trouble with the GARCH(1,1) model. I am using non-overlapping data for both the implied volatility I have obtained and the realised volatility based on the Wednesday following the 3rd Friday of each Monday ...