[R-SIG-Finance] Help GARCH forecasting

tonyp petrovaa at gmail.com
Thu Jun 30 12:29:06 CEST 2011

If I were you, I would think twice of using GARCH for prediction. Time Series
models are notorious for their unreliability into the financial quant space,
simply due to the stylized fact that even after correcting returns for
volatility clustering, the residual ts still exhibits heavy tails. Be
cautious!!! In addition, you apply the analysis on returns; preferrably log
returns not on prices! Good luck. There is planty of good sources outthere
of what you are looking for. 

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