About this document
GARCH vs RiskMetrics for Covariance Forecasting by Kirill Kucherenko is a document available to read on EtoBox.
GARCH is not always superior to RiskMetrics (EWMA) for covariance forecasting, as the effectiveness of each method depends on the specific data and the forecast target, including the horizon and loss function. GARCH may outperform RiskMetrics in certain scenarios due to its ability to model volatility clustering. Ultimately, the choice between the two methods should be based on the context of the analysis.
- Author
- Kirill Kucherenko
- Language
- EN