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Wed 14 Oct, 2015 06:50 am
I would like to forecast volatility with GARCH. I have taken portfolio consisting of 2 stock indices. One is equity, another is fixed income. I have tested the returns of both indices and equity indice is normal (95% confidence level) in terms of simple return, whereas another is not. But, fixed income returns are normal in terms of log returns whilst equity returns are not. What should I do in this situation?