DOPASOWANIE MODELI GARCH A JAKOŚĆ UZYSKANYCH PROGNOZ
THE ADAPTATION OF GARCH MODELS AND THE QUALITY OF OBTAINED FORECASTS

Summary/Abstract: Analysis of the adaptation of GARCH models presented in the paper consists of three parts. Firstly, the theoretical considerations in this regard was made, referring to the recommendations identified in the literature. Secondly, practical aspects of the proper selection of GARCH model for the time series based on the values of information criteria was presented. Thirdly, the relation between the quality of adaptation and the quality of obtained forecasts was indicated, using the tools of quantitative analysis. The aim of this paper is to verify if the improvement of the goodness of GARCH models results in better volatility forecasts.

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