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Who actually do econometrics?
GARCH is sometimes used in vol calculations.
Who actually do econometrics?
GARCH should be used more often - vol traders in top banks don't use it - instead they take a simple average of the last 6 periods! Oh my G...
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- RagingBear
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Who actually do econometrics?
QuoteOriginally posted by: meteor>>Who actually do econometrics?IMO it is more used in hedge fundsCan you expand on this opinion please?
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- hungryquant
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Who actually do econometrics?
QuoteOriginally posted by: cstassenGARCH should be used more often - vol traders in top banks don't use it - instead they take a simple average of the last 6 periods! Oh my G...That a bit odd, its not like its hard to implement http://www.sfu.ca/~rgencay/jarticles/ij ... me.pdfThis article reckons its better to use extreme value theory that the GARCH type models in emerging markets