The DOI matches its Crossref record; 48 of the 48 references it cites were found in a registry or an index.
Macroeconomic Forecasting Performance under Alternative Specifications of Time-Varying Volatility: FORECASTING PERFORMANCE AND SPECIFICATIONS OF TIME-VARYING VOLATILITY
Abstract
This paper compares alternative models of time-varying volatility on the basis of the accuracy of real-time point and density forecasts of key macroeconomic time series for the USA. We consider Bayesian autoregressive and vector autoregressive models that incorporate some form of time-varying volatility, precisely random walk stochastic volatility, stochastic volatility following a stationary AR process, stochastic volatility coupled with fat tails, GARCH and mixture of innovation models. The results show that the AR and VAR specifications with conventional stochastic volatility dominate other volatility specifications, in terms of point forecasting to some degree and density forecasting to a greater degree. Copyright © 2014 John Wiley & Sons, Ltd.
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Cites
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Strictly Proper Scoring Rules, Prediction, and Estimation
Gneiting, T., & Raftery, A. E. (2007) · Journal of the American Statistical Association · doi:10.1198/016214506000001437 · Cited by 5,793
Diebold, F., & Mariano, R. (1994) · National Bureau of Economic Research · doi:10.3386/t0169 · Cited by 5,185
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Time Varying Structural Vector Autoregressions and Monetary Policy
Primiceri, G. E. (2005) · The Review of Economic Studies · doi:10.1111/j.1467-937x.2005.00353.x · Cited by 3,030
Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
Kim, S., Shepherd, N., & Chib, S. (1998) · Review of Economic Studies · doi:10.1111/1467-937x.00050 · Cited by 2,261
Drifts and volatilities: monetary policies and outcomes in the post WWII US
Cogley, T., & Sargent, T. J. (2005) · Review of Economic Dynamics · doi:10.1016/j.red.2004.10.009 · Cited by 1,933
On Gibbs sampling for state space models
CARTER, C. K., & KOHN, R. (1994) · Biometrika · doi:10.1093/biomet/81.3.541 · Cited by 1,917
A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
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Metadata
- Authors
- Clark, T. E., & Ravazzolo, F.
- Venue
- Journal of Applied Econometrics
- Publisher
- Wiley
- Published
- 2014-01-21
- Volume
- 30
- Issue
- 4
- Pages
- 551-575
- ISSN
- 0883-7252 (ISSN-L)
- OpenAlex
- W2113422836
- Cited by
- 317
- References
- 48
- FWCI
- 49.60
- Type
- journal article
- Language
- en
- Open access
- closed
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- Clark, T. E., & Ravazzolo, F. (2015). Macroeconomic Forecasting Performance under Alternative Specifications of Time-Varying Volatility: FORECASTING PERFORMANCE AND SPECIFICATIONS OF TIME-VARYING VOLATILITY. Journal of Applied Econometrics. https://doi.org/10.1002/jae.2379
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