Adjusting forecast intervals in arch‐m models

DOI10.1111/1467-9892.00279zbMath1062.62215OpenAlexW3121629178MaRDI QIDQ4677010

Jesús A. Miguel, Pilar Olave

Publication date: 20 May 2005

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00279

zbMATH Keywords

conditional distributionARMA modelforecast intervalsARCH-M modelsGARCH(1,1) innovations

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Exact distribution theory in statistics (62E15)

Related Items (1)

Joint Selection of the Model and the Information Set in Heteroskedastic Dynamic Models

Cites Work

• ARCH modeling in finance. A review of the theory and empirical evidence
• Prediction in dynamic models with time-dependent conditional variances
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