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Selection of the Informative Base in ARMA-GARCH Models

Author

Listed:
  • Laura Mu�oz

    (Department of Statistics Methods, University of Zaragoza)

  • Pilar Olave

    (Department of Statistics Methods, University of Zaragoza)

  • Manuel Salvador

    (Department of Statistics Methods, University of Zaragoza)

Abstract

In this paper we consider the selection of the information set in ARMA-GARCH models using the methodology proposed in Mu�oz et al. (2001) based on ideas of Phillips (1996). To that end, we analyse the performance of some selection criteria asymptotically equivalent to the Bayes factor and propose a method to build approximated Bayesian forecast intervals.

Suggested Citation

  • Laura Mu�oz & Pilar Olave & Manuel Salvador, 2003. "Selection of the Informative Base in ARMA-GARCH Models," Documentos de Trabajo dt2003-03, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
    • Handle: RePEc:zar:wpaper:dt2003-03
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    Cited by:

    1. N Blasco & P Corredor & S Ferreruela, 2011. "Detecting intentional herding: what lies beneath intraday data in the Spanish stock market," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 62(6), pages 1056-1066, June.

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