Hoogerheide, L., Ardia, D. and Corre, N. (2012). Stock index returns' density prediction using GARCH models: Frequentist or Bayesian estimation? Economics Letters, 116(3):322--325.
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Affiliated authorLennart Hoogerheide
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Publication year2012
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JournalEconomics Letters
Using GARCH models for density prediction of stock index returns, a comparison is provided between frequentist and Bayesian estimation. No significant difference is found between qualities of whole density forecasts, whereas the Bayesian approach exhibits significantly better left-tail forecast accuracy. {\textcopyright} 2012 Elsevier B.V.