Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation?

Using GARCH models for density prediction of stock index returns, a comparison is provided between frequentist and Bayesian estimation. No significant difference is found between qualities of whole density forecasts, whereas the Bayesian approach exhibits significantly better left-tail forecast accuracy.

MoreLess

Year of publication:	2012
Authors:	Hoogerheide, Lennart F. ; Ardia, David ; Corré, Nienke
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 116.2012, 3, p. 322-325
Publisher:	Elsevier
Subject:	GARCH \| Bayesian \| KLIC \| Censored likelihood

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Classification:	C2 - Econometric Methods: Single Equation Models ; C11 - Bayesian Analysis ; C13 - Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010594118