Forecast intervals in ARCH models: bootstrap versus parametric methods

Pilar Olave Robio

Applied Economics Letters, 1999, vol. 6, issue 5, 323-327

Abstract: This paper proposes an alternative bootstrap method for constructing prediction intervals for an ARMA process, when its innovations are represented by a linear GARCH model. The potential of this bootstrap method is assessed through a study which compares the proposed technique with a standard one.

Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:6:y:1999:i:5:p:323-327

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DOI: 10.1080/135048599353320

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