I can't say much about Garch/SV being better or worse but I know that's there an approximate functional equivalence between exponential smoothing and a regular moving average ( i.e: rolling window ). It's something like lambda = 1/(2n +1) or something like that but I don't remember. It's in any decent technical analysis book and it's true empirically because I've played around with it in the past.
-----Original Message----- From: [EMAIL PROTECTED] [mailto:[EMAIL PROTECTED] On Behalf Of elton wang Sent: Thursday, February 28, 2008 4:36 PM To: [EMAIL PROTECTED]; r-help Subject: Re: [R-SIG-Finance] EMM: how to make forecast using EMM methods? 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? _______________________________________________ [EMAIL PROTECTED] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. -- If you want to post, subscribe first. ______________________________________________ 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.
