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The model confidence set - choosing between models

Johansson, Jeanette (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.
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author
Johansson, Jeanette
supervisor
organization
year
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}},
}