Backtesting Global Growth-at-Risk
58 Pages Posted: 10 Oct 2019 Last revised: 26 Nov 2019
Date Written: September 29, 2019
We conduct an out-of-sample backtesting exercise of multivariate Growth-at-Risk (GaR) predictions for 24 OECD countries. We consider forecasting methods based on quantile regression (QR) and GARCH models. We find evidence of predictability up to one year ahead, and the forecasts based on GARCH models dominate those based on QR. Our empirical evidence supports the view that the time-varying dynamics of the lower quantiles of GDP growth cannot be distinguished from those implied by time-varying volatility.
Keywords: Growth-at-Risk, Backtesting, Quantile Regression, GARCH
JEL Classification: C22, C23, C52, C53, C58
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