https://scholars.lib.ntu.edu.tw/handle/123456789/414907
標題: | The volatility and density prediction performance of alternative GARCH models | 作者: | Huang T.-H. Wang Y.-H. |
關鍵字: | density prediction;GARCH;jump;skewed- t;volatility forecasting | 公開日期: | 2012 | 卷: | 31 | 期: | 2 | 起(迄)頁: | 157-171 | 來源出版物: | Journal of Forecasting | 摘要: | This study compares the volatility and density prediction performance of alternative GARCH models with different conditional distribution specifications. The conditional residuals are specified as normal, skewedHyphen;t or compound Poisson (jump) distribution based upon a nonlinear and asymmetric GARCH (NGARCH) model framework. The empirical results for the S&P 500 and FTSE 100 index returns suggest that the jump model outperforms all other models in terms of both volatility forecasting and density prediction. Nevertheless, the superiority of the nonHyphen;normal models is not always significant and diminished during the sample period on those occasions when volatility experiences an obvious structural change. Copyright ? 2011 John Wiley & Sons, Ltd. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414907 | ISSN: | 02776693 | DOI: | 10.1002/for.1217 |
顯示於: | 財務金融學系 |
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