Hello everyone! New to this site (and noob in bayesian stats). I’ve been following this package for quite a bit of time and I was looking for an excuse to give it a try. I recently saw that at my new job we use a lot of garch models to get volatilities over a sample with daily frequency. I thought …

Sorry I didn’t have notifications turned on. After writing a reply I saw that I can recover the volatilities manually anyway, just need to do it iteratively with all the alphas and betas, my bad!

Can I get volatilities out of the GARCH11 model?

Questions

twiecki May 3, 2021, 9:53am 2

Hi,

Could you post the code or NB you used to model this?

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Can I get volatilities out of the GARCH11 model?

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