Forecasting with GARCH models under structural breaks: An approach based on combinations across estimation windows

DOI10.1080/03610918.2018.1520876zbMath1489.62371OpenAlexW2622170302WikidataQ128676623 ScholiaQ128676623MaRDI QIDQ5083880

Davide De Gaetano

Publication date: 21 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2018.1520876

zbMATH Keywords

structural breaksforecast combinationsvolatility forecastingeconometric simulation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Related Items (1)

A bootstrap bias correction of long run fourth order moment estimation in the CUSUM of squares test

Cites Work

• The Model Confidence Set
• Neglecting parameter changes in GARCH models
• Selection of estimation window in the presence of breaks
• Rolling window selection for out-of-sample forecasting with time-varying parameters
• Volatility forecast comparison using imperfect volatility proxies
• Optimal forecasts in the presence of structural breaks
• Adaptive forecasting in the presence of recent and ongoing structural change
• Structural Breaks in Financial Time Series
• Modelling the persistence of conditional variances
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• Forecast Combination Across Estimation Windows

This page was built for publication: Forecasting with GARCH models under structural breaks: An approach based on combinations across estimation windows