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Hi again,

I think I have an answer. The GARCH is not supposed to form a single-file line with the actual volatility, all it is expected to do is to track variations in the volatility.

Hello, I am trying to model and forecast Brent and WTI crude oil volatility using very basic GARCH specifications. I compare the modelling and predictive power of the models with the actual volatility as measured by daily squared returns r2t. Unfortunately, looking at the graphs, I can tell that the...