GARCH Models
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tosodoulis
- Posts: 2
- Joined: Fri Jan 21, 2011 7:06 pm
GARCH Models
Does anyone know why might a GARCH type model be preferred to simply calculating the historic standard deviation, when estimating volatility of returns?
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startz
- Non-normality and collinearity are NOT problems!
- Posts: 3798
- Joined: Wed Sep 17, 2008 2:25 pm
GARCH Models
GARCH lets the volitility be time varying
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