Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation?

Lennart F. Hoogerheide, David Ardia and Nienke Corré

Economics Letters, 2012, vol. 116, issue 3, 322-325

Abstract: Using GARCH models for density prediction of stock index returns, a comparison is provided between frequentist and Bayesian estimation. No significant difference is found between qualities of whole density forecasts, whereas the Bayesian approach exhibits significantly better left-tail forecast accuracy.

Keywords: GARCH; Bayesian; KLIC; Censored likelihood (search for similar items in EconPapers)
JEL-codes: C11 C13 C2 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:116:y:2012:i:3:p:322-325

DOI: 10.1016/j.econlet.2012.03.026

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