Density Forecasting with Time Varying Higher Moments – A Model Confidence Set Approach
Author
Summary, in English
Density forecasts contain a complete description of the uncertainty associated with a point forecast and are therefore important measures of financial risk. This paper aims to examine if the new more complicated models for financial returns that allow for time variation in higher moments lead to better out-of-sample density forecasts. Using two decades of daily Standard and Poor's 500 index returns I find that a model with time varying conditional variance, skewness and kurtosis produces significantly better density forecasts than the competing models.
Publishing year
2013
Language
English
Pages
19-31
Publication/Series
Journal of Forecasting
Volume
32
Issue
1
Document type
Journal article
Publisher
John Wiley & Sons Inc.
Topic
- Economics
- Business Administration
Keywords
- model confidence set
- density forecasting
- GARCH
Status
Published
ISBN/ISSN/Other
- ISSN: 1099-131X