Chen, Bei; Gel, Yulia R.; Balakrishna, N.; Abraham, Bovas - In: Journal of Forecasting 30 (2011) 1, pp. 51-71
We propose a novel, simple, efficient and distribution-free re‐sampling technique for developing prediction intervals for returns and volatilities following ARCH/GARCH models. In particular, our key idea is to employ a Box–Jenkins linear representation of an ARCH/GARCH equation and then to...