Prediction in ARMA Models with GARCH in Mean Effects

Menelaos Karanasos

Journal of Time Series Analysis, 2001, vol. 22, issue 5, 555-576

Abstract: This paper considers forecasting the conditional mean and variance from an ARMA model with GARCH in mean effects. Expressions for the optimal predictors and their conditional and unconditional MSEs are presented. We also derive the formula for the covariance structure of the process and its conditional variance. JEL. C22.

Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:22:y:2001:i:5:p:555-576

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