ARE THE GARCH MODELS BEST IN OUT-OF-SAMPLE PERFORMANCE

被引：12

作者：

LEE, KY

机构：

[1] University of Wisconsin-Madison, Madison

来源：

ECONOMICS LETTERS | 1991年 / 37卷 / 03期

关键词：

D O I：

10.1016/0165-1765(91)90227-C

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Out-of-sample performance of exchange rate volatility model depends on criteria used to measure it. The linear GARCH models cannot generally outperform the nonlinear models in the RMSE criterion. Furthermore, the nonparametric kernel model is best in the MAE criterion. © 1991.

引用

页码：305 / 308

页数：4

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