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RiskMetrics RM2006 Methodology

LTCM

Joined
5/22/08
Messages
9
Points
11
Is anyone using/used the RiskMetrics RM2006 forecasting model? (http://www.riskmetrics.com/risk_management/rm2006.html)

For the next few weeks I have to learn it and compare backtests using it to the RiskMetrics RM1994. RM2006 is supposed to better capture volatility clustering and fat tails. If so, let me know what you found from your backtests if you compared the two. How have your longer term forecasts been?

Thanks
 
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