GARCH model selection criteria

DOI10.1088/1469-7688/3/4/303zbMath1408.62149OpenAlexW2034236646MaRDI QIDQ4647269

Heather Mitchell, Michael D. McKenzie

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/3/4/303

zbMATH Keywords

GARCH model selection criteriaHannan-Quinn and stochastic complexity criteria

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Uses Software

• ElemStatLearn

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• ARCH modeling in finance. A review of the theory and empirical evidence
• Estimating the dimension of a model
• Forecasting exchange rate volatility using conditional variance models selected by information criteria
• Generalized autoregressive conditional heteroscedasticity
• Modeling and pricing long memory in stock market volatility
• Fitting autoregressive models for prediction
• ARCH models as diffusion approximations
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
• Modelling the persistence of conditional variances
• Regression and time series model selection in small samples
• Several Tests for Model Specification in the Presence of Alternative Hypotheses
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Class of Nonlinear Arch Models
• Autoregressive Conditional Density Estimation
• Some notes on Rissanen's stochastic complexity
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• The minimum description length principle in coding and modeling
• Fisher information and stochastic complexity
• Threshold heteroskedastic models
• The elements of statistical learning. Data mining, inference, and prediction

This page was built for publication: GARCH model selection criteria