Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation?
Lennart Hoogerheide, David Ardia & Nienke Corré
| Résumé |
Using GARCH models for density prediction of stock index returns, a
comparison is provided between frequentist and Bayesian estimation.
No significant difference is found between qualities of whole
density forecasts, whereas the Bayesian approach exhibits
significantly better left-tail forecast accuracy. |
| Mots-clés |
GARCH; Bayesian; KLIC; Censored likelihood |
| Citation | Hoogerheide, L., Ardia, D., & Corré, N. (2012). Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation?. Economics Letters, 116(3), 322-325. |
| Type | Article de périodique (Anglais) |
| Date de publication | 2012 |
| Nom du périodique | Economics Letters |
| Volume | 116 |
| Numéro | 3 |
| Pages | 322-325 |
| URL | http://www.sciencedirect.com/science/article/pii/S0165176... |