Does the GARCH specification do a “perfect” job of estimating and forecasting volatility?
Of course not. Interestingly enough, even the academic underpinnings of the GARCH specification do not support the expectation of superior “point forecasts” for the underlying series. However, for gaining a sophisticated grasp of how volatility has behaved in the past, especially the recent past, it pretty much represents state-of-the-art for most practitioners.
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