<r>QuoteOriginally posted by: BilboIs there any good place to find some kind of GARCH manual??One place for a soft GARCH start is <URL url="http://marshallinside.usc.edu/simrohoroglu/teaching/543/spring2002/garch101.pdf"><LINK_TEXT text="http://marshallinside.usc.edu/simrohoro ... rch101.pdf">http:/...

<r>QuoteOriginally posted by: exotiqSo what is a better way than my #5 to practically fit a GARCH model/estimate its parameters? All the material I have seen either doesn't go into that step. Is there any open C++ or Mathematica code that I could look at which estimates GARCH parameters that I could...

<t>QuoteOriginally posted by: DileepHi all,Well i am a newbie to this group. And I am currently using GARCH to estimate the volatility of NIFTY (India) with intraday data. I have a few doubts regarding my work.1.What is generally good time horizon to take as sample when i have a data as fine as mult...

<r>QuoteOriginally posted by: exotiqHere's a general question for the ARCH gurus: do these models stop at variance, or can they be generalized to handle higher moments, such as time varying skew and kurtosis of a time series?Yes the first generalisation was made by Bruce Hansen (1994), he proposes w...

<t>"There isn't that many paper that extensively talk about how to analysis volatility forecasts."There has been a rather active and I think sucessful research (but not so extensive as you say) agenda in evaulating volatility forecasts the last 8-10 years. To give the major contributions Andersen, T...