GARCH-Type models and the performance of information criteria
(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:
https://lup.lub.lu.se/record/3172519
- author
- Javed, Farrukh LU and Mantalos, Panagiotis LU
- organization
- publishing date
- 2013
- 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}}, }