[jkabrg]

Nassim Taleb had some negative things to say about GARCH.

"GARCH does not work out of sample. It is a good story, but I was unable to use it in predicting squared deviations or mean deviations"

I haven't found it in Rob J Hyndman's forecasting tutorial either.

How does it fare in the Makridakis competitions?

[VHRanger]

You shouldn't listen to N. Taleb on technical matters. He's been a classic mold crank for the last decade or so when it comes to anything serious, relegated instead to writing fluffy books on whatever he thinks is important.

[zwaps]

GARCH, like I said, is a short memory process and is inherently inadequate for (longer) out of sample predictions. Doing this is possible, but not really correct. Taleb is basically right, of course what he says is probably inflammatory and half wrong, as usual.

Don't forget that most econometrics models are also concerned with identification and causality, less with prediction.