The model confidence set - choosing between models
(2005)Department of Economics
- Abstract
- My data consists of closing prices between January 2000 and December 2004. My interest is, by looking at the return, to apply the Model Confidence Set. I work with ten volatility models. The Model Confidence Set is analogous to a confidence interval of a specific parameter. This means that the Model Confidence Set is used to choose model/models that is/are considered to be "best". The empirical exercise is based on ten models, and by applying the method I came to the conclusion that the Asymmetric Garch (1,1) was inferior compared to the other models.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1337277
- author
- Johansson, Jeanette
- supervisor
- organization
- year
- 2005
- type
- M2 - Bachelor Degree
- subject
- keywords
- forecasting, forecasting error, hypothesis testing, model selection, Economics, econometrics, economic theory, economic systems, economic policy, Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik
- language
- English
- id
- 1337277
- date added to LUP
- 2005-11-26 00:00:00
- date last changed
- 2010-08-03 10:53:16
@misc{1337277, abstract = {{My data consists of closing prices between January 2000 and December 2004. My interest is, by looking at the return, to apply the Model Confidence Set. I work with ten volatility models. The Model Confidence Set is analogous to a confidence interval of a specific parameter. This means that the Model Confidence Set is used to choose model/models that is/are considered to be "best". The empirical exercise is based on ten models, and by applying the method I came to the conclusion that the Asymmetric Garch (1,1) was inferior compared to the other models.}}, author = {{Johansson, Jeanette}}, language = {{eng}}, note = {{Student Paper}}, title = {{The model confidence set - choosing between models}}, year = {{2005}}, }