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Bootstrap prediction for returns and volatilities in GARCH models
- Source :
-
Computational Statistics & Data Analysis . May2006, Vol. 50 Issue 9, p2293-2312. 20p. - Publication Year :
- 2006
-
Abstract
- Abstract: A new bootstrap procedure to obtain prediction densities of returns and volatilities of GARCH processes is proposed. Financial market participants have shown an increasing interest in prediction intervals as measures of uncertainty. Furthermore, accurate predictions of volatilities are critical for many financial models. The advantages of the proposed method are that it allows incorporation of parameter uncertainty and does not rely on distributional assumptions. The finite sample properties are analyzed by an extensive Monte Carlo simulation. Finally, the technique is applied to the Madrid Stock Market index, IBEX-35. [Copyright &y& Elsevier]
- Subjects :
- *MONTE Carlo method
*STATISTICS
*STOCK exchanges
*DISTRIBUTION (Probability theory)
Subjects
Details
- Language :
- English
- ISSN :
- 01679473
- Volume :
- 50
- Issue :
- 9
- Database :
- Academic Search Index
- Journal :
- Computational Statistics & Data Analysis
- Publication Type :
- Periodical
- Accession number :
- 19912549
- Full Text :
- https://doi.org/10.1016/j.csda.2004.12.008