Selection of the Informative Base in ARMA-GARCH Models

Laura Mu�oz (), Pilar Olave and Manuel Salvador
Additional contact information
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

Documentos de Trabajo from Facultad de Ciencias Económicas y Empresariales, Universidad de 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.

Keywords: ARMA; GARCH; Prediction; Model Selection; Information Set Selection (search for similar items in EconPapers)
Date: 2003-03
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://fecem.unizar.es/sites/fecem/files/archivos/repec/pdf/DT2003-03.pdf (application/pdf)

Related works:
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:zar:wpaper:dt2003-03

Access Statistics for this paper

More papers in Documentos de Trabajo from Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza Contact information at EDIRC.
Bibliographic data for series maintained by Isabel Acero Fraile ().