摘要：Hansen and Lunde [16] posed the question Does anything beat a GARCH(1,1)? and compared a large number of parametric volatility models in an extensive empirical study. They found that no other model provides significantly better forecasts than the GARCH(1,1) model. In contrast, this paper arrives at the conclusion that simple robust estimators such as weighted medians of past (squared) returns outperform the GARCH(1,1) model both in-sample as well as out-of-sample. This conclusion is based on theoretical arguments as well as on empirical evidence.
