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Is Beta- t -EGARCH(1,1) superior to GARCH(1,1)?

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  • Szabolcs Blazsek
  • Marco Villatoro

Abstract

Statistical performance, in-sample point forecast precision and out-of-sample density forecast precision of GARCH(1,1) and Beta- t -EGARCH(1,1) models are compared. We study the volatility of nine global industry indices for period from April 2006 to July 2010. Competing models are estimated for periods before, during and after the United States (US) financial crisis of 2008. The results provide evidence of the superior out-of-sample predictive performance of Beta- t -EGARCH compared to GARCH after the US financial crisis.

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  • Szabolcs Blazsek & Marco Villatoro, 2015. "Is Beta- t -EGARCH(1,1) superior to GARCH(1,1)?," Applied Economics, Taylor & Francis Journals, vol. 47(17), pages 1764-1774, April.
    • Handle: RePEc:taf:applec:v:47:y:2015:i:17:p:1764-1774
    DOI: 10.1080/00036846.2014.1000536
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    References listed on IDEAS

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    4. Blazsek, Szabolcs & Licht, Adrian, 2018. "Seasonality Detection in Small Samples using Score-Driven Nonlinear Multivariate Dynamic Location Models," UC3M Working papers. Economics 27483, Universidad Carlos III de Madrid. Departamento de Economía.

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