In the present paper the accuracy of multi-step ahead predictors has been evaluated through the forecast densities of a selection of nonlinear time series structures which present conditional variance changing over time. The forecast densities and the forecast regions have been estimated using a Monte Carlo simulation procedure. The relevance of the estimated coefficients on the amplitude of the forecast regions has been investigated and the role of the model intercepts on the density shape of the regime switching models have been examined.

Forecast density of regimes switching conditional heteroskedastic models

AMENDOLA, Alessandra;NIGLIO, Marcella
2001

Abstract

In the present paper the accuracy of multi-step ahead predictors has been evaluated through the forecast densities of a selection of nonlinear time series structures which present conditional variance changing over time. The forecast densities and the forecast regions have been estimated using a Monte Carlo simulation procedure. The relevance of the estimated coefficients on the amplitude of the forecast regions has been investigated and the role of the model intercepts on the density shape of the regime switching models have been examined.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11386/1634340
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