Can I forecast stock returns using GARCH?

2017-07-03 00:22:08


I know this is a rookie question, but I have seen some comments about using GARCH for forecasting stock returns. Is it something people do? Wasn't GARCH just for volatility? Also, can you suggest any (simple) papers that could help me better understand this technique and how to apply it in Eviews or R?

Thank you!