Bootstrapping forecast intervals in ARCH models

DOI10.1007/BF02595875zbMath0938.62050MaRDI QIDQ1969428

Pilar Olave, Jesús A. Miguel

Publication date: 13 June 2000

Published in: Test (Search for Journal in Brave)

zbMATH Keywords

bootstrap methodprediction intervalsARCH model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09)

Related Items (9)

Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root ⋮ Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions ⋮ Estimation and prediction of time-varying GARCH models through a state-space representation: a computational approach ⋮ Bootstrap prediction intervals for autoregressive conditional duration models ⋮ Bootstrap forecast intervals for asymmetric volatilities via EGARCH model ⋮ Bootstrap prediction in univariate volatility models with leverage effect ⋮ New and fast block bootstrap-based prediction intervals for GARCH(1,1) process with application to exchange rates ⋮ Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes ⋮ Bootstrap prediction for returns and volatilities in GARCH models

Cites Work

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• Prediction in dynamic models with time-dependent conditional variances
• Bootstrap methods: another look at the jackknife
• Information criteria for selecting possibly misspecified parametric models
• Bootstrap Prediction Intervals for Autoregression
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS
• Predicting Using Box-Jenkins, Nonparametric, and Bootstrap Techniques

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