r********n
发帖数: 7441 | 1 【 以下文字转载自 Quant 讨论区 】
发信人: realoption (Options), 信区: Quant
标 题: 请问两个波动性时间序列预测(Volatility Forecasting)的问题
发信站: BBS 未名空间站 (Mon Feb 18 12:10:49 2008)
1. If I have two volatility forecasting models, how do we know which one is
(uniformally) better than the other?
2. If I want to incorporate short memory in a volatility forecasting model (
e.g. GARCH), how to do this? Same problem for long memory?
delta-t = 1 week
Thanks! | i***6
发帖数: 442 | 2 for question 1,
maybe backtesting. |
|
