Hybrid SV-GARCH, \(t\)-GARCH and Markov-switching covariance structures in VEC models -- which is better from a predictive perspective?

Anna Pajor, Jacek Osiewalski, Justyna Wróblewska, Łukasz Kwiatkowski

Publication date: 29 July 2024

Published in: International Statistical Review (Search for Journal in Brave)

stochastic volatility conditional heteroskedasticity cointegration Bayesian methods error correction models density forecasts probabilistic forecasting

Mathematics Subject Classification ID

Parametric inference (62Fxx) Applications of statistics (62Pxx) Inference from stochastic processes (62Mxx)

Cites Work

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