QARMA-Beta-t-EGARCH versus ARMA-GARCH: an application to S&P 500

Statistical performance and out-of-sample forecast precision of ARMA-GARCH and QARMA-Beta-t-EGARCH are compared. We study daily returns on the Standard and Poor's 500 (S&P 500) index and a random sample of 50 stocks from the S&P 500 for period May 2006 to July 2010. Competing models are estimated for periods before and during the US financial crisis of 2008. Out-of-sample point and density forecasts are performed for periods during and after the US financial crisis. The results provide evidence of the superior in-sample statistical and out-of-sample predictive performance of QARMA-Beta-t-EGARCH.