QARMA-Beta- t -EGARCH versus ARMA-GARCH: an application to S&P 500

Szabolcs Blazsek and Vicente Mendoza

Applied Economics, 2016, vol. 48, issue 12, 1119-1129

Abstract: Statistical performance and out-of-sample forecast precision of ARMA-GARCH and QARMA-Beta- t -EGARCH are compared. We study daily returns on the Standard and Poor’s 500 (S&P 500) index and a random sample of 50 stocks from the S&P 500 for period May 2006 to July 2010. Competing models are estimated for periods before and during the US financial crisis of 2008. Out-of-sample point and density forecasts are performed for periods during and after the US financial crisis. The results provide evidence of the superior in-sample statistical and out-of-sample predictive performance of QARMA-Beta- t -EGARCH.

Date: 2016
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DOI: 10.1080/00036846.2015.1093086

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