Artikel
Optimal multi-step-ahead prediction of ARCH/GARCH models and NoVaS transformation
This paper gives a computer-intensive approach to multi-step-ahead prediction of volatility in financial returns series under an ARCH/GARCH model and also under a model-free setting, namely employing the NoVaS transformation. Our model-based approach only assumes i..id innovations without requiring knowledge/assumption of the error distribution and is computationally straightforward. The model-free approach is formally quite similar, albeit a GARCH model is not assumed. We conducted a number of simulations to show that the proposed approach works well for both point prediction (under L1 and/or L2 measures) and prediction intervals that were constructed using bootstrapping. The performance of GARCH models and the model-free approach for multi-step ahead prediction was also compared under different data generating processes.
- Language
-
Englisch
- Bibliographic citation
-
Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 7 ; Year: 2019 ; Issue: 3 ; Pages: 1-23 ; Basel: MDPI
- Classification
-
Wirtschaft
- Subject
-
L1 and L2
bootstrap
GARCH(1,1)
Monte Carlo simulation
multi-step prediction
NoVaS transformation
- Event
-
Geistige Schöpfung
- (who)
-
Chen, Jie
Politis, Dimitris N.
- Event
-
Veröffentlichung
- (who)
-
MDPI
- (where)
-
Basel
- (when)
-
2019
- DOI
-
doi:10.3390/econometrics7030034
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Chen, Jie
- Politis, Dimitris N.
- MDPI
Time of origin
- 2019
Other Objects (12)
The New Evolution of China’s Diplomacy with Arab States Under the Background of the Sino- U.S. Competition: Trends and Prospects
Housing system and urbanization in the People's Republic of China
Housing Wealth and Aggregate Consumption in Sweden
The Dynamics of Housing Allowance Claims in Sweden: A discrete-time hazard analysis
Crystal structure of poly (diaqua-(bis (μ 2 -1,4-bis (imidazol-1-ylmethyl) benzene)-κ 2 N, N′) cobalt (II)-tetraqua-bis (1,4-bis (imidazol-1-ylmethyl) benzene)-κ 1 N)-cobalt (II) di (2,5-thiophenedicarboxylate) dihydrate, C 68 H 76 Co 2 N 16 O 16 S 2
Dynamic and loss analysis of flood inundation in the floodplain area of the lower Yellow River considering ecological impact
Editorial-Autonomous Intelligent Systems
Identification of significant periodic genes in microarray gene expression data
Impact of internet contact on the ideological and mental health education of university students
Does vocational education pay better, or worse, than academic education?
"Study hard and make progress every day": Updates on returns to education in China
Are Chinese paying too much or too little for school quality? The rent yield gap approach for estimating the capitalization of school quality in Shanghai
The New Evolution of China’s Diplomacy with Arab States Under the Background of the Sino- U.S. Competition: Trends and Prospects
Housing system and urbanization in the People's Republic of China
Housing Wealth and Aggregate Consumption in Sweden
The Dynamics of Housing Allowance Claims in Sweden: A discrete-time hazard analysis
Crystal structure of poly (diaqua-(bis (μ 2 -1,4-bis (imidazol-1-ylmethyl) benzene)-κ 2 N, N′) cobalt (II)-tetraqua-bis (1,4-bis (imidazol-1-ylmethyl) benzene)-κ 1 N)-cobalt (II) di (2,5-thiophenedicarboxylate) dihydrate, C 68 H 76 Co 2 N 16 O 16 S 2
Dynamic and loss analysis of flood inundation in the floodplain area of the lower Yellow River considering ecological impact
Editorial-Autonomous Intelligent Systems
Identification of significant periodic genes in microarray gene expression data
Impact of internet contact on the ideological and mental health education of university students
Does vocational education pay better, or worse, than academic education?
"Study hard and make progress every day": Updates on returns to education in China
Are Chinese paying too much or too little for school quality? The rent yield gap approach for estimating the capitalization of school quality in Shanghai
The New Evolution of China’s Diplomacy with Arab States Under the Background of the Sino- U.S. Competition: Trends and Prospects
Housing system and urbanization in the People's Republic of China
Housing Wealth and Aggregate Consumption in Sweden
The Dynamics of Housing Allowance Claims in Sweden: A discrete-time hazard analysis
Crystal structure of poly (diaqua-(bis (μ 2 -1,4-bis (imidazol-1-ylmethyl) benzene)-κ 2 N, N′) cobalt (II)-tetraqua-bis (1,4-bis (imidazol-1-ylmethyl) benzene)-κ 1 N)-cobalt (II) di (2,5-thiophenedicarboxylate) dihydrate, C 68 H 76 Co 2 N 16 O 16 S 2
Dynamic and loss analysis of flood inundation in the floodplain area of the lower Yellow River considering ecological impact
Editorial-Autonomous Intelligent Systems
Identification of significant periodic genes in microarray gene expression data
Impact of internet contact on the ideological and mental health education of university students
Does vocational education pay better, or worse, than academic education?
"Study hard and make progress every day": Updates on returns to education in China