Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation?
Author(s)
Date issued
2012
In
Economics Letters
Vol
3
No
116
From page
322
To page
325
Reviewed by peer
1
Subjects
GARCH Bayesian KLIC Censored likelihood
Abstract
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.
Publication type
journal article
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