Adjusting forecast intervals in arch‐m models

DOI10.1111/1467-9892.00279MaRDI QIDQ4677010zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• ARCH modeling in finance. A review of the theory and empirical evidence
• Prediction in dynamic models with time-dependent conditional variances

Cited in

(5)

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

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