Volume 21 Issue 2 (April-June 2005)

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Bootstrap prediction intervals for ARCH models

Reeves, J.J.
Pages 237-248
Abstract

In this paper, we construct prediction intervals for autoregressive conditional heteroskedasticity (ARCH) models using the bootstrap. We use both a parametric and non-parametric bootstrap, which take account of parameter uncertainty. We compare our prediction intervals to traditional asymptotic prediction intervals and find that the bootstrap leads to improved accuracy. The accuracy of the bootstrap is empirically demonstrated with the Yen/US$ exchange rate.

Keywords: Forecasting , GARCH , Non-Gaussian time series , Resampling
FULL TEXT LINK
http://dx.doi.org/10.1016/j.ijforecast.2004.09.005
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