## Abstract We compare 330 ARCHโtype models in terms of their ability to describe the conditional variance. The models are compared outโofโsample using DMโ$ exchange rate data and IBM return data, where the latter is based on a new data set of realized variance. We find no evidence that a GARCH(1,1
A Comparison of Alternative Forecast Models of REIT Volatility
โ Scribed by Jian Zhou; Zhixin Kang
- Publisher
- Springer US
- Year
- 2009
- Tongue
- English
- Weight
- 327 KB
- Volume
- 42
- Category
- Article
- ISSN
- 0895-5638
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## Abstract The aim of this paper is to compare the forecasting performance of competing threshold models, in order to capture the asymmetric effect in the volatility. We focus on examining the relative outโofโsample forecasting ability of the SETARโThreshold GARCH (SETARโTGARCH) and the SETARโThre
## ABSTRACT This study compares the volatility and density prediction performance of alternative GARCH models with different conditional distribution specifications. The conditional residuals are specified as normal, skewedHyphen;__t__ or compound Poisson (jump) distribution based upon a nonlinear