Volatility bias in the GARCH model: a simulation study

In this paper we show that the conditional variance of the GARCH(1,1) model is a measure that usually overstimates the magnitude of volatility in time series.

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Year of publication:	2002
Authors:	González, Eduardo Acosta ; Rodríguez, Fernando Fernández ; Rodríguez, Jorge Pérez
Institutions:	Facultad de Ciencias Económicas de la ULPGC
Subject:	GARCH models \| prediction \| bias

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Extent:	application/pdf
Series:	Documentos de trabajo conjunto ULL-ULPGC.
Type of publication:	Book / Working Paper
Notes:	11 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005396379