Prediction in ARMA models with GARCH in Mean Effects

Menelaos Karanasos ()

Discussion Papers from Department of Economics, University of York

Abstract: This paper considers forecasting the conditional mean and variance from an ARMA model with GARCH in mean effects. Expressions for the optimal predictors and their conditional and unconditional MSE's are presented. We also derive the formula for the covariance structure of the process and its conditional variance.

Keywords: ARMA Model; Conditional Moments; GARCH in Mean Effects (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:yor:yorken:99/11

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