eCite Digital Repository

Assessing Volatility Forecasting Models: Why GARCH Models Take the Lead


Matei, M, Assessing Volatility Forecasting Models: Why GARCH Models Take the Lead, Romanian Journal of Economic Forecasting, 12, (4) pp. 42-65. ISSN 1582-6163 (2009) [Refereed Article]

Copyright Statement

Copyright 2009 Institute for Economic Forecasting

Official URL:


The paper provides a critical assessment of the main forecasting techniques and an evaluation of the superiority of the more advanced and complex models. Ultimately, its scope is to offer support for the rationale behind of an idea: GARCH is the most appropriate model to use when one has to evaluate the volatility of the returns of groups of stocks with large amounts (thousands) of observations. The appropriateness of the model is seen through a unidirectional perspective of the quality of volatility forecast provided by GARCH when compared to any other alternative model, without considering any cost component.

Item Details

Item Type:Refereed Article
Keywords:volatility, GARCH, forecast, correlation, risk, heteroskedasticity
Research Division:Commerce, Management, Tourism and Services
Research Group:Banking, finance and investment
Research Field:Financial econometrics
Objective Division:Economic Framework
Objective Group:Measurement standards and calibration services
Objective Field:Measurement standards and calibration services not elsewhere classified
UTAS Author:Matei, M (Dr Marius Matei)
ID Code:99870
Year Published:2009
Web of Science® Times Cited:8
Deposited By:Economics and Finance
Deposited On:2015-04-14
Last Modified:2015-05-11

Repository Staff Only: item control page