Predictability and Model Selection in the Context of Arch Models

67 Pages Posted: 8 Jul 2016

See all articles by Stavros Antonios Degiannakis

Stavros Antonios Degiannakis

Department of Economic and Regional Development, Panteion University of Political and Social Sciences

Evdokia Xekalaki

Athens University of Economics and Business

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Date Written: 1999

Abstract

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

Suggested Citation

Degiannakis, Stavros Antonios and Xekalaki, Evdokia, Predictability and Model Selection in the Context of Arch Models (1999). Available at SSRN: https://ssrn.com/abstract=2804983 or http://dx.doi.org/10.2139/ssrn.2804983

Stavros Antonios Degiannakis

Department of Economic and Regional Development, Panteion University of Political and Social Sciences ( email )

136 Sygrou
Athens
Greece

Evdokia Xekalaki (Contact Author)

Athens University of Economics and Business ( email )

76 Patission Street
GR-10434 Athens
Greece

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