Predictability and Model Selection in the Context of Arch Models
67 Pages Posted: 8 Jul 2016
Date Written: 1999
Most of the methods used in the ARCH literature for selecting the appropriate model are based on evaluating the ability of the models to describe the data. An alternative model selection approach is examined based on the evaluation of the predictability of the models on the basis of standardized prediction errors.
Keywords: ARCH models, Model selection, Predictability, Correlated Gamma Ratio distribution, Prediction Error Criterion
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