forecasting volatility model with the most appropriate error distribution. The results suggest the presence of leverage effect … validate this result. The last twenty eight days out-of-sample forecast adjudged Power-GARCH (1, 1, 1) in student's t error … forecasting model that could guarantee a sound policy decisions. …

exhibiting leptokurtosis, asymmetry and conditional heteroskedasticity. It is based on a GARCH-type process driven by noncentral …

average (ARIMA) models are then used to generate out-of-sample recursive forecasts of the unemployment rates, which are used … as benchmark. Finally, we replicate the forecasting experiment including as predictors both an indicator of unemployment …

We test and report on time series modelling and forecasting using several US. Leading economic indicators (LEI) as an … input to forecasting real US. GDP and the unemployment rate. These time series have been addressed before, but our results … unemployment rate series. We tested the forecasting ability of best univariate and best bivariate models over 60- and 120-period …

Average (ARIMA) models, Holt-Winters models and Neural Network Auto-Regressive (NNAR) models in forcasting the Harmonized … while ARIMA model gives the most accurate forecast of twelve-month inflation in EU countries. The Holt-Winters (additive and … fact that the European Union has been implementing a policy of strict inflation targeting for a long time, so the ARIMA …

using ARIMA model. Results of the analyses show that (i) the data requires logarithmic transformation to stabilize the …