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Cited by 1,773

The DOI matches its Crossref record; 41 of the 41 references it cites were found in a registry or an index.

A forecast comparison of volatility models: does anything beat a GARCH(1,1)?

Open access
Hansen, Peter R., Lunde, Asger·2005·Journal of Applied Econometrics
DOI 10.1002/jae.800
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Abstract

We compare 330 ARCH‐type models in terms of their ability to describe the conditional variance. The models are compared out‐of‐sample using DM–$ exchange rate data and IBM return data, where the latter is based on a new data set of realized variance. We find no evidence that a GARCH(1,1) is outperformed by more sophisticated models in our analysis of exchange rates, whereas the GARCH(1,1) is clearly inferior to models that can accommodate a leverage effect in our analysis of IBM returns. The models are compared with the test for superior predictive ability (SPA) and the reality check for data snooping (RC). Our empirical results show that the RC lacks power to an extent that makes it unable to distinguish ‘good’ and ‘bad’ models in our analysis. Copyright © 2005 John Wiley & Sons, Ltd.

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Metadata

Authors
Hansen, P. R., & Lunde, A.
Venue
Journal of Applied Econometrics
Publisher
Wiley
Published
2005-03-30
Volume
20
Issue
7
Pages
873-889
ISSN
  • 0883-7252 (ISSN-L)
  • 1099-1255
DOI
10.1002/jae.800
OpenAlex
W3122175640
Cited by
1,773
References
41
FWCI
74.97
Type
journal article
Language
en
Open access
bronze

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