请问两个波动性时间序列预测(Volatility Forecasting)的问题 (? - Quant版

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Quant版 - 请问两个波动性时间序列预测(Volatility Forecasting)的问题 (?

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r********n
发帖数: 7441

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!

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