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GARCH-Type models and the performance of information criteria

Javed, Farrukh LU and Mantalos, Panagiotis LU (2013) In Communications in Statistics: Simulation and Computation 42(8). p.1917-1933
Abstract
This article discusses the ability of information criteria toward the correct selection of different especially higher-order generalized autoregressive conditional heteroscedasticity (GARCH) processes, based on their probability of correct selection as a measure of performance. Each of the considered GARCH processes is further simulated at different parameter combinations to study the possible effect of different volatility structures on these information criteria. We notice an impact from the volatility structure of time series on the performance of these criteria. Moreover, the influence of sample size, having an impact on the performance of these criteria toward correct selection, is observed.
Please use this url to cite or link to this publication:
author
and
organization
publishing date
type
Contribution to specialist publication or newspaper
publication status
published
subject
keywords
GARCH, Leverage, Spillover, Volatility
categories
Popular Science
in
Communications in Statistics: Simulation and Computation
volume
42
issue
8
pages
1917 - 1933
publisher
Taylor & Francis
external identifiers
  • wos:000314352500015
  • scopus:84873447727
ISSN
0361-0918
DOI
10.1080/03610918.2012.683924
language
English
LU publication?
yes
id
efa4d1e8-c2c8-41cb-a9e9-0e5b3a193765 (old id 3172519)
date added to LUP
2016-04-01 13:10:53
date last changed
2022-03-21 17:06:15
@misc{efa4d1e8-c2c8-41cb-a9e9-0e5b3a193765,
  abstract     = {{This article discusses the ability of information criteria toward the correct selection of different especially higher-order generalized autoregressive conditional heteroscedasticity (GARCH) processes, based on their probability of correct selection as a measure of performance. Each of the considered GARCH processes is further simulated at different parameter combinations to study the possible effect of different volatility structures on these information criteria. We notice an impact from the volatility structure of time series on the performance of these criteria. Moreover, the influence of sample size, having an impact on the performance of these criteria toward correct selection, is observed.}},
  author       = {{Javed, Farrukh and Mantalos, Panagiotis}},
  issn         = {{0361-0918}},
  keywords     = {{GARCH; Leverage; Spillover; Volatility}},
  language     = {{eng}},
  number       = {{8}},
  pages        = {{1917--1933}},
  publisher    = {{Taylor & Francis}},
  series       = {{Communications in Statistics: Simulation and Computation}},
  title        = {{GARCH-Type models and the performance of information criteria}},
  url          = {{http://dx.doi.org/10.1080/03610918.2012.683924}},
  doi          = {{10.1080/03610918.2012.683924}},
  volume       = {{42}},
  year         = {{2013}},
}