Evaluating the performance of GARCH models using White´s Reality Check
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Department of Economics PUC-Rio (Brazil) in its series Textos para discussão with number 453.
Length: 24 pages
Date of creation: Apr 2002
Date of revision:
Publication status: Published in Brazilian Review of Econometrics, v. 25, n.1, 2005
Contact details of provider:
Postal: Rua Marquês de São Vicente, 225, 22453-900 Rio de Janeiro, RJ
Phone: 021 35271078
Fax: 021 35271084
Web page: http://www.econ.puc-rio.br
More information through EDIRC
time seris; GARCH models; bootstrap; reality check; volatility; financial econometrics; Monte Carlo; forecasting; riskmetrics; moving average;
Find related papers by JEL classification:
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-04-25 (All new papers)
- NEP-ECM-2002-04-25 (Econometrics)
- NEP-ETS-2002-04-25 (Econometric Time Series)
- NEP-LAB-2002-04-25 (Labour Economics)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Cifter, Atilla, 2012. "Volatility Forecasting with Asymmetric Normal Mixture Garch Model: Evidence from South Africa," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 127-142, June.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.