The bootstrap does not alwayswork for heteroscedasticmodels

Shimizu Kenichi ()
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Shimizu Kenichi: Institut für Mathematische Stochastik Technische, Universität Braunschweig Pockelsstrasse 14, 38106 Braunschweig, Germany

Statistics & Risk Modeling, 2013, vol. 30, issue 3, 189-204

Abstract: This paper demonstrates the cases where bootstrap does not work for heteroscedastic time series models. We construct prediction intervals for the ARMA-GARCH models using bootstrap and see how a wrong application of bootstrap could lead to a false conclusion

Keywords: ARMA-GARCH; stationary time series; bootstrap; forecasting (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1524/strm.2013.1088

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