Are the GARCH models best in out-of-sample performance!

DOI10.1016/0165-1765(91)90227-CzbMath0825.90144OpenAlexW2005551206WikidataQ126536445 ScholiaQ126536445MaRDI QIDQ1184761

Keun Yeong Lee

Publication date: 28 June 1992

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(91)90227-c

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic growth models (91B62)

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Modelling credit spreads with time volatility, skewness, and kurtosis ⋮ Forecast Evaluation in the Presence of Unobserved Volatility ⋮ Volatility forecasting in the hang seng index using the GARCH approach ⋮ Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate ⋮ Efficient goods inspection demand at ports: a comparative forecasting approach ⋮ Finite sample properties of maximum likelihood and quasi-maximum likelihood estimators of egarch models

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