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Density Forecasting with Time Varying Higher Moments – A Model Confidence Set Approach

Vilhelmsson, Anders LU (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:
author
organization
publishing date
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}},
}