Evaluating forecast performances of the quantile autoregression models in the present global crisis in international equity markets
In this research, we compare the one-step-ahead out-of-sample forecast performances of the linear Quantile Autoregression (QAR) model as well as the latest sophisticated nonlinear copula-based QAR models for four daily equity index returns during the current financial tumultuous period. In addition, two Conditional Autoregressive Value-at-Risk (CAViaR) models proposed by Engle and Manganelli (2004) are also considered. In order to obtain the robust evaluation results, we estimate the time-varying parameters via two forecasting schemes (recursive and rolling) and examine the accuracy of the Value-at-Risk (VaR) forecast by three different test procedures. Our main findings are that the CAViaR models provide good forecast performance in most cases and they are superior to both linear and nonlinear copula-based QAR models.
Volume (Year): 23 (2013)
Issue (Month): 2 (January)
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:23:y:2013:i:2:p:105-117. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.