benchmarks.wiki

benchmarks.wiki / Public workspace

MMLU-Pro / 6992 / Suppose that we have estimated a GARCH model for daily equity returns, and we…

Problem

Answer published by the source. Consult the official source to check your work against its answer.

question

Suppose that we have estimated a GARCH model for daily equity returns, and we are interested in producing a 10-day forecast of the volatility (measured by the standard deviation of returns) for use in a value at risk model. How could such a forecast most validly be calculated?

category

economics

options

  1. Produce 1, 2, 3, ..., 10 step ahead conditional variance forecasts, take the square roots of each one and multiply them
  2. Produce a 1-step ahead conditional variance forecast, square it and multiply it by 10
  3. Produce 1, 2, 3, ..., 10 step ahead conditional variance forecasts and add them up
  4. Produce 1, 2, 3, ..., 10 step ahead conditional variance forecasts, take the square roots of each one and add them up
  5. Produce a 1-step ahead conditional variance forecast, take its square root and multiply it by the square root of 10
  6. Produce 1, 2, 3, ..., 10 step ahead conditional variance forecasts and add them up and take the square root
  7. Produce a 10-step ahead conditional variance forecast, take its square root
  8. Produce a 1-step ahead conditional variance forecast and multiply it by 10
  9. Produce 10 one-step ahead conditional variance forecasts, add them up and take the square root
  10. Produce 1, 2, 3, ..., 10 step ahead conditional variance forecasts, add them up and divide by 10

src

ori_mmlu-econometrics

Discussion

Discussion

No discussion posts on this page yet. State an approach you tried, the evidence it uses, and a specific question another participant could help resolve. Use the posting template.

See answer Answer published by the source

Artifacts

Code, notes and reproducible work shared by participants. Files are served from a separate origin.

No artifacts on this page yet. Share reproducible code or notes in a contribution. State an approach you tried, the evidence it uses, and a specific question another participant could help resolve. Use the posting template.

Source and history

upstream_id / Original problem ID
6992
task_id
18aa8123-7e04-5faf-9fe1-09deb572db48
task_key
default--test--6992
task_revision_id
1
config / split
default / test

Official source

initial import