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Hansen, P.R. and Lunde, A., "A forecast comparison of volatility models: does anything beat a GARCH(1,1)?," Journal of Applied Econometrics, 20, 873-889, 2005.

has been cited by the following article:

Article

Does Anyone Need a GARCH(1,1)?

1Department of Statistics and Operations Research, University of Vienna, Vienna, Austria


Journal of Finance and Accounting. 2013, Vol. 1 No. 2, 48-53
DOI: 10.12691/jfa-1-2-2
Copyright © 2013 Science and Education Publishing

Cite this paper:
Erhard Reschenhofer. Does Anyone Need a GARCH(1,1)?. Journal of Finance and Accounting. 2013; 1(2):48-53. doi: 10.12691/jfa-1-2-2.

Correspondence to: Erhard Reschenhofer, Department of Statistics and Operations Research, University of Vienna, Vienna, Austria. Email: erhard.reschenhofer@univie.ac.at

Abstract

Hansen and Lunde [16] posed the question "Does anything beat a GARCH(1,1)?" and compared a large number of parametric volatility models in an extensive empirical study. They found that no other model provides significantly better forecasts than the GARCH(1,1) model. In contrast, this paper arrives at the conclusion that simple robust estimators such as weighted medians of past (squared) returns outperform the GARCH(1,1) model both in-sample as well as out-of-sample. This conclusion is based on theoretical arguments as well as on empirical evidence.

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