Is Beta-t-EGARCH(1,1) superior to GARCH(1,1)?

被引：11
|
作者：
Blazsek, Szabolcs [1 ]
Villatoro, Marco [1 ]
机构：
[1] Univ Francisco Marroquin, Sch Business, Guatemala City, Guatemala
来源：
APPLIED ECONOMICS | 2015年 / 47卷 / 17期
关键词：
Beta-t-EGARCH; density forecasts; United States financial crisis of 2008; global industry indices; VOLATILITY MODELS; CONDITIONAL HETEROSKEDASTICITY; FORECASTS;
D O I：
10.1080/00036846.2014.1000536
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Statistical performance, in-sample point forecast precision and out-of-sample density forecast precision of GARCH(1,1) and Beta-t-EGARCH(1,1) models are compared. We study the volatility of nine global industry indices for period from April 2006 to July 2010. Competing models are estimated for periods before, during and after the United States (US) financial crisis of 2008. The results provide evidence of the superior out-of-sample predictive performance of Beta-t-EGARCH compared to GARCH after the US financial crisis.
引用
收藏
页码：1764 / 1774
页数：11
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