I've heard opinions that GARCH/SV volatility models are not better on forecasting than simple exponential moving average volatilities or even rolling window historical vol. Any practitioners mind comment?
--- Michael <[EMAIL PROTECTED]> wrote: > Hi all, > > We followed some books and sample codes and did some > EMM estimation, > only to find it won't be able to generate forecast. > > This is because in the stochastic volatility models > we are estimating, > the volatilities are latent variables, and we want > to forecast 1-step > ahead or h-step ahead volatilities. > > So it is nice to have the system estimated, but we > couldn't get it to > forecast at all. > > There is a "Reprojection" Method described in the > original EMM paper, > but let's say we reproject to a GARCH(1,1) model, > then only the > GARCH(1, 1) parameters are significant, which > basically means we > degrade the SV model into a GARCH model. There is no > way to do the > forecast... > > Could anybody give some pointers? > > Thanks! > > _______________________________________________ > [EMAIL PROTECTED] mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. > -- If you want to post, subscribe first. > ____________________________________________________________________________________ Looking for last minute shopping deals? ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
