Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes

DOI10.1002/for.1197zbMath1217.91140OpenAlexW2068799179MaRDI QIDQ3018538

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Publication date: 27 July 2011

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: http://dyuthi.cusat.ac.in/purl/2856

zbMATH Keywords

bootstrapfinancial time seriesvolatility forecastingnon-Gaussian distribution

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (11)

Robust bootstrap prediction intervals for univariate and multivariate autoregressive time series models ⋮ RESIDUAL-BASED GARCH BOOTSTRAP AND SECOND ORDER ASYMPTOTIC REFINEMENT ⋮ Bootstrap prediction intervals for autoregressive conditional duration models ⋮ Bootstrap forecast intervals for asymmetric volatilities via EGARCH model ⋮ Bootstrap based probability forecasting in multiplicative error models ⋮ Bootstrap prediction in univariate volatility models with leverage effect ⋮ New and fast block bootstrap-based prediction intervals for GARCH(1,1) process with application to exchange rates ⋮ Using Conditional Kernel Density Estimation for Wind Power Density Forecasting ⋮ Robust bootstrap forecast densities for GARCH returns and volatilities ⋮ Catching Uncertainty of Wind: A Blend of Sieve Bootstrap and Regime Switching Models for Probabilistic Short-Term Forecasting of Wind Speed ⋮ Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap

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