EconPapers    
Economics at your fingertips  
 

Model Selection and Testing of Conditional and Stochastic Volatility Models

Massimiliano Caporin and Michael McAleer

Working Papers in Economics from University of Canterbury, Department of Economics and Finance

Abstract: This paper focuses on the selection and comparison of alternative non-nested volatility models. We review the traditional in-sample methods commonly applied in the volatility framework, namely diagnostic checking procedures, information criteria, and conditions for the existence of moments and asymptotic theory, as well as the out-of-sample model selection approaches, such as mean squared error and Model Confidence Set approaches. The paper develops some innovative loss functions which are based on Value-at-Risk forecasts. Finally, we present an empirical application based on simple univariate volatility models, namely GARCH, GJR, EGARCH, and Stochastic Volatility that are widely used to capture asymmetry and leverage.

Keywords: Volatility model selection; volatility model comparison; non-nested models; model confidence set; Value-at-Risk forecasts; asymmetry, leverage (search for similar items in EconPapers)
JEL-codes: C11 C22 C52 C58 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2010-09-01
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-for, nep-ore and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
https://repec.canterbury.ac.nz/cbt/econwp/1058.pdf (application/pdf)

Related works:
Working Paper: Model Selection and Testing of Conditional and Stochastic Volatility Models (2010) Downloads
Working Paper: Model Selection and Testing of Conditional and Stochastic Volatility Models (2010) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cbt:econwp:10/58

Access Statistics for this paper

More papers in Working Papers in Economics from University of Canterbury, Department of Economics and Finance Private Bag 4800, Christchurch, New Zealand. Contact information at EDIRC.
Bibliographic data for series maintained by Albert Yee (albert.yee@canterbury.ac.nz).

 
Page updated 2025-03-22
Handle: RePEc:cbt:econwp:10/58