Adjusting forecast intervals in arch‐m models

DOI10.1111/1467-9892.00279zbMATH Open1062.62215OpenAlexW3121629178MaRDI QIDQ4677010FDOQ4677010

Authors: Jesús A. Miguel, Pilar Olave 

Publication date: 20 May 2005

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00279

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zbMATH Keywords

conditional distributionARMA modelforecast intervalsARCH-M modelsGARCH(1,1) innovations

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Cites Work

• Title not available (Why is that?)
• ARCH modeling in finance. A review of the theory and empirical evidence
• Prediction in dynamic models with time-dependent conditional variances

Cited In (5)

• Interval forecasts and parameter uncertainty
• ARCH models for multi-period forecast uncertainty: a reality check using a panel of density forecasts
• Joint Selection of the Model and the Information Set in Heteroskedastic Dynamic Models
• Exact predictive densities for linear models with ARCH disturbances
• Bootstrapping forecast intervals in ARCH models

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