Predictability and Model Selection in the Context of ARCH Models

Stavros Degiannakis and Evdokia Xekalaki

MPRA Paper from University Library of Munich, Germany

Abstract: Most of the methods used in the ARCH literature for selecting the appropriate model are based on evaluating the ability of the models to describe the data. An alternative model selection approach is examined based on the evaluation of the predictability of the models in terms of standardized prediction errors.

Keywords: ARCH models; Model selection; Predictability; Correlated Gamma Ratio distribution; Standardized Prediction Error Criterion (search for similar items in EconPapers)
JEL-codes: C22 C46 C53 (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (10)

Published in Journal of Applied Stochastic Models in Business and Industry 21 (2005): pp. 55-82

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Journal Article: Predictability and model selection in the context of ARCH models (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:80486

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