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Bias in systems of survey and econometric forecasts

โœ Scribed by Daniel T. Walz; Roger W. Spencer


Book ID
113247885
Publisher
Elsevier Science
Year
1988
Tongue
English
Weight
621 KB
Volume
10
Category
Article
ISSN
0164-0704

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## Abstract By Jensen's inequality, a model's forecasts of the variance and standard deviation of returns cannot both be unbiased. This study explores the bias in GARCH type model forecasts of the standard deviation of returns, which we argue is the more appropriate volatility measure for most fina