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Prediction regions for interval‐valued time series

Gloria Gonzalez‐Rivera, Yun Luo and Esther Ruiz ()

Journal of Applied Econometrics, 2020, vol. 35, issue 4, 373-390

Abstract: We approximate probabilistic forecasts for interval‐valued time series by offering alternative approaches. After fitting a possibly non‐Gaussian bivariate vector autoregression (VAR) model to the center/log‐range system, we transform prediction regions (analytical and bootstrap) for this system into regions for center/range and upper/lower bounds systems. Monte Carlo simulations show that bootstrap methods are preferred according to several new metrics. For daily S&P 500 low/high returns, we build joint conditional prediction regions of the return level and volatility. We illustrate the usefulness of obtaining bootstrap forecasts regions for low/high returns by developing a trading strategy and showing its profitability when compared to using point forecasts.

Date: 2020
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Citations: View citations in EconPapers (5)

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https://doi.org/10.1002/jae.2754

Related works:
Working Paper: Prediction Regions for Interval-valued Time Series (2019) Downloads
Working Paper: Prediction Regions for Interval-valued Time Series (2018) Downloads
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