A comparison of volatility models: Does anything beat a GARCH(1,1) ?

By P. R. Hansen, Asger Lunde. 2001

96 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/d70117719a97f2867403fabf584b119003f8b8a0

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Citations in the corpus

• Food price volatility in sub-Saharan Africa: Has it really increased? (2012, methodology): “We use the GARCH(1,1) model to estimate the conditional volatility in food prices, since it has been shown to perform well against alternative specifications (Hansen and Lunde, 2001).”
• Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2015, unknown): “However, market microstructure noise induces serial auto-correlation in the observed returns, which biases the realized variance estimate at high sampling frequencies (see Hansen and Lunde (2006b) for a detailed analysis of the effects of microstructure noise).”