A forecast comparison of volatility models: does anything beat a GARCH(1,1)?

Hansen, Peter R; Lunde, Asger

doi:10.1002/jae.800

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A forecast comparison of volatility models: does anything beat a GARCH(1,1)?

Author(s): Peter R. Hansen , Asger Lunde

Publication date Created: December 2005

Publication date (Print): December 2005

Journal: Journal of Applied Econometrics

Publisher: Wiley-Blackwell

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Title: Journal of Applied Econometrics

Abbreviated Title: J. Appl. Econ.

Publisher: Wiley-Blackwell

ISSN (Print): 0883-7252

ISSN (Electronic): 1099-1255

Publication date Created: December 2005

Publication date (Print): December 2005

Volume: 20

Issue: 7

Pages: 873-889

Article

DOI: 10.1002/jae.800

SO-VID: 0d1952e9-b9e0-4203-bfcf-8ee1805eba59

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http://doi.wiley.com/10.1002/tdm_license_1.1

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A forecast comparison of volatility models: does anything beat a GARCH(1,1)?

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