Date of Award
5-2016
Degree Type
Report
Degree Name
Master of Science (MS)
Department
Economics and Finance
Committee Chair(s)
Tyler Brough
Committee
Tyler Brough
Committee
Devon Gorry
Committee
James Feigenbaum
Abstract
The GARCH model is widely used to forecast volatility for economic and financial Data. There are, however, several shortcomings of using the simple GARCH estimator alone for forecasting volatility. The major issue with the use of the default GARCH model is the persistence of variance that evolves through time and the simple GARCH model fails to address. This paper looks at the GARCH(1,1) model and consistent with Lamoureux and Lastrapes (1990), finds that it overstates the persistence of variance due to model misspecification, specifically the lack of structural shifts.
Recommended Citation
Romero Moreno, Aristides, "A Monte Carlo Study on the Persistence of Variance with Garch" (2016). All Graduate Plan B and other Reports, Spring 1920 to Spring 2023. 827.
https://digitalcommons.usu.edu/gradreports/827
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