Predictability and Model Selection in the Context of Arch Models

Degiannakis, Stavros Antonios; Xekalaki, Evdokia

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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

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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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 in terms of standardized prediction errors.

Keywords: ARCH models, Model selection, Predictability, Correlated Gamma Ratio distribution, Standardized Prediction Error Criterion

Suggested Citation: Suggested Citation

Degiannakis, Stavros Antonios and Xekalaki, Evdokia, 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, Available at SSRN: https://ssrn.com/abstract=798434