Density Forecasting with Time Varying Higher Moments – A Model Confidence Set Approach
(2013) In Journal of Forecasting 32(1). p.19-31- Abstract
- 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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/2063133
- author
- Vilhelmsson, Anders LU
- organization
- publishing date
- 2013
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- model confidence set, density forecasting, GARCH
- in
- Journal of Forecasting
- volume
- 32
- issue
- 1
- pages
- 19 - 31
- publisher
- John Wiley & Sons Inc.
- external identifiers
-
- wos:000312815600003
- scopus:84871718406
- ISSN
- 1099-131X
- DOI
- 10.1002/for.1246
- language
- English
- LU publication?
- yes
- id
- 74b95204-2cf4-415b-963b-982a45a57f36 (old id 2063133)
- date added to LUP
- 2016-04-01 10:06:29
- date last changed
- 2022-01-25 19:45:53
@article{74b95204-2cf4-415b-963b-982a45a57f36, abstract = {{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.}}, author = {{Vilhelmsson, Anders}}, issn = {{1099-131X}}, keywords = {{model confidence set; density forecasting; GARCH}}, language = {{eng}}, number = {{1}}, pages = {{19--31}}, publisher = {{John Wiley & Sons Inc.}}, series = {{Journal of Forecasting}}, title = {{Density Forecasting with Time Varying Higher Moments – A Model Confidence Set Approach}}, url = {{http://dx.doi.org/10.1002/for.1246}}, doi = {{10.1002/for.1246}}, volume = {{32}}, year = {{2013}}, }