Show simple item record Baillie, RT Bollerslev, T 2010-03-09T15:29:35Z 1992-01-01
dc.identifier.citation Journal of Econometrics, 1992, 52 (1-2), pp. 91 - 113
dc.identifier.issn 0304-4076
dc.description.abstract This paper considers forecasting the conditional mean and variance from a single-equation dynamic model with autocorrelated disturbances following an ARMA process, and innovations with time-dependent conditional heteroskedasticity as represented by a linear GARCH process. Expressions for the minimum MSE predictor and the conditional MSE are presented. We also derive the formula for all the theoretical moments of the prediction error distribution from a general dynamic model with GARCH(1, 1) innovations. These results are then used in the construction of ex ante prediction confidence intervals by means of the Cornish-Fisher asymptotic expansion. An empirical example relating to the uncertainty of the expected depreciation of foreign exchange rates illustrates the usefulness of the results. © 1992.
dc.format.extent 91 - 113
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.relation.ispartof Journal of Econometrics
dc.relation.isversionof 10.1016/0304-4076(92)90066-Z
dc.title Prediction in dynamic models with time-dependent conditional variances
dc.type Journal Article
dc.department Economics
pubs.issue 1-2
pubs.organisational-group /Duke
pubs.organisational-group /Duke/Trinity College of Arts & Sciences
pubs.organisational-group /Duke/Trinity College of Arts & Sciences/Economics
pubs.publication-status Published
pubs.volume 52

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