Volatility bias in the GARCH model: a simulation study

Eduardo Acosta González (), Fernando Fernández Rodríguez () and Jorge Pérez-Rodríguez ()

Documentos de trabajo conjunto ULL-ULPGC from Facultad de Ciencias Económicas de la ULPGC

Abstract: 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.

Keywords: GARCH models; prediction; bias (search for similar items in EconPapers)
Pages: 11 pages
Date: 2002
New Economics Papers: this item is included in nep-ecm and nep-ets
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