Predictability and Model Selection in the Context of Arch Models
Journal of Applied Stochastic Models in Business and Industry, Vol. 21, pp. 55-82, 2005
47 Pages Posted: 12 Sep 2005
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 in terms of standardized prediction errors.
Keywords: ARCH models, Model selection, Predictability, Correlated Gamma Ratio distribution, Standardized Prediction Error Criterion
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