Starica, Catalin - EconWPA - 2004
the GARCH(1,1) process to describing and forecasting the dynamics of returns of the Standard & Poors 500 (S&P 500) stock … discussion, there were no (statistically significant) differences between GARCH(1,1) modeling and a simple non-stationary, non …-parametric regression approach to next-day volatility forecasting. A second finding is that the GARCH(1,1) model severely over-estimated the …