Comparing the accuracy of density forecasts from competing GARCH models

MaRDI QIDQ3632328zbMATH OpenFDO

Authors Abu Hassan Shaari Mohd Nor, Ahmad Shamiri, Z. Isa

Publication date 23 June 2009

zbMATH Keywords

conditional distributiondensityforecast accuracyGARCHKullback-Leibler information criteria

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Out-of-sample comparison of copula specifications in multivariate density forecasts
• Likelihood-based scoring rules for comparing density forecasts in tails
• Predictive density and conditional confidence interval accuracy tests
• The volatility and density prediction performance of alternative GARCH models
• Asymmetric predictive abilities of nonlinear models for stock returns: evidence from density forecast comparison

Cited in

(6)

• Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
• Asymmetric predictive abilities of nonlinear models for stock returns: evidence from density forecast comparison
• Financial density forecasts: a comprehensive comparison of risk-neutral and historical schemes
• Out-of-sample comparison of copula specifications in multivariate density forecasts
• GARCH density and functional forecasts
• Likelihood-based scoring rules for comparing density forecasts in tails

Describes a project that uses

Uses Software

• KernSmooth
• KLIC

This page was built for publication: Comparing the accuracy of density forecasts from competing GARCH models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3632328)