Content horizons for conditional variance forecasts
Article Abstract:
Comparison of forecasts of daily variance from standard Generalized Autoregressive Conditional Heteroskedasticity (GARCH) and FIGARCH models estimated by Quasi-Maximum Likelihood (QML), and from projections on past realized volatilities obtained from high-frequency data, using realized variance to estimate daily conditional variance of financial returns, is presented.
Publisher: Elsevier B.V.
Publication Name: International Journal of Forecasting
Subject: Economics
ISSN: 0169-2070
Year: 2005
Canada, Usage, Comparative analysis, Autoregression (Statistics), Heteroscedasticity, Variance (Statistics)
Publication Name: International Journal of Forecasting
Subject: Economics
ISSN: 0169-2070
Year: 2005
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Effect of tapering of accuracy of forecasts made with stable estimators of vector autoregressive processes
Article Abstract:
A study on the effect of tapering data on accuracy of forecasts in vector autoregressive processes is presented.
Publisher: Elsevier B.V.
Publication Name: International Journal of Forecasting
Subject: Economics
ISSN: 0169-2070
Year: 2006
Analysis, Databases, Database, CD-ROM catalog, CD-ROM database
Publication Name: International Journal of Forecasting
Subject: Economics
ISSN: 0169-2070
Year: 2006
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Subjects list: United States, Forecasting
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