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Comparing the Accuracy Forecasts from Competing GARCH models   Ahmed Shamiri

Comparing the Accuracy Forecasts from Competing GARCH models

200 страниц. 2010 год.
LAP Lambert Academic Publishing
This book unlocks the door to many major questions regarding forecasting financial markets. We propose and analyze a distance measure using Kullback- Leibler Information Criterion (KLIC) as a unified statistical test of evaluating, comparing the predictive abilities of possibly misspecified density forecast models, and to assess which volatility and/or distribution are statistically more appropriate to mimic the time series behavior of a return series. The purpose is to determine which GARCH model (volatility) combined with conditional distribution, that allows for time varying variance in a process can adequately represent daily return volatility. The book will be a useful reference for researchers and practitioners in business, finance and insurance facing Value at Risk, volatility modeling, and analysis of serially correlated data. This book is also a useful text of financial time series for students with finance concentration in business, economics, mathematics...
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