Backtesting Global Growth-at-Risk

69 Pages Posted: 10 Oct 2019 Last revised: 2 Nov 2020

See all articles by Christian T. Brownlees

Christian T. Brownlees

Universitat Pompeu Fabra - Faculty of Economic and Business Sciences; Barcelona Graduate School of Economics (Barcelona GSE)

André B.M. Souza

Universitat Pompeu Fabra - Department of Economics and Business; Barcelona Graduate School of Economics (Barcelona GSE)

Date Written: September 29, 2019

Abstract

We conduct an out-of-sample backtesting exercise of Growth-at-Risk (GaR) predictions for 24 OECD countries. We consider forecasts constructed from quantile regression and GARCH models. The quantile regression forecasts are based on a set of recently proposed measures of downside risks to GDP, including the national financial conditions index. The backtesting results show that quantile regression and GARCH forecasts have a similar performance. If anything, our evidence suggests that standard volatility models such as the GARCH(1,1) are more accurate.

Keywords: Growth-at-Risk, Backtesting, Quantile Regression, GARCH

JEL Classification: C22, C23, C52, C53, C58

Suggested Citation

Brownlees, Christian T. and Souza, André B.M., Backtesting Global Growth-at-Risk (September 29, 2019). Available at SSRN: https://ssrn.com/abstract=3461214 or http://dx.doi.org/10.2139/ssrn.3461214

Christian T. Brownlees

Universitat Pompeu Fabra - Faculty of Economic and Business Sciences ( email )

Ramon Trias Fargas 25-27
Barcelona, 08005
Spain

HOME PAGE: http://84.89.132.1/~cbrownlees/

Barcelona Graduate School of Economics (Barcelona GSE) ( email )

Ramon Trias Fargas 25-27
Barcelona, Catalonia 08014
Spain

André B.M. Souza (Contact Author)

Universitat Pompeu Fabra - Department of Economics and Business ( email )

Barcelona
Spain

HOME PAGE: http://andrebmsouza.com

Barcelona Graduate School of Economics (Barcelona GSE) ( email )

Ramon Trias Fargas, 25-27
Barcelona, Barcelona 08005
Spain

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
291
Abstract Views
1,547
rank
118,549
PlumX Metrics