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earnings forecasters, we see that small adjustments to the model forecasts lead to more forecast accuracy. Based on past track …
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In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...
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) model with those for ARIMA(1,d,1) models withfixed order of d=0 and d=1 for inflation. Comparing meansquared forecast errors …,1,1) model provides the best forecasts, but itsmulti-step forecast intervals are too large. …
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