Answering the critics
Subtitle: yes, ARCH models do provide good volatility forecasts
By: Torben G. Andersen, Tim Bollerslev.
Contributors: Bollerslev, Tim, 1958-; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 6023; Working paper series (National Bureau of Economic Research) -- working paper no. 6023.
Publisher: National Bureau of Economic Research
Published: 1997
Place of publication: Cambridge, MA
Language: eng
Number of pages: 22
Subjects: Econometrics.; Assets (Accounting) -- Prices -- Forecasting.; Autoregression (Statistics)
Other titles: Yes, ARCH models do provide good volatility forecasts; ARCH models do provide good volatility forecasts
Notes: "April 1997."

JEL no. C22, C52, C53, G12, G13.

Includes bibliographical references (p. 18-22).

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Electronic version available via the Internet at the NBER World Wide Web site.