Publication: Bootstrap prediction for returns and volatilities in GARCH models.
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Publication date
2006-05-01
Defense date
Advisors
Tutors
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier.
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.
Description
Keywords
Time series, Non-Gaussian distributions, Nonlinear models, Resampling methods
Bibliographic citation
Computational Statistics & Data Analysis, (1 May 2006), 50(9), 2293-2312.