Comparing the accuracy of density forecasts from competing GARCH models
In this research we introduce an analyzing procedure using the Kullback-Leibler information criteria (KLIC) as a statistical tool to evaluate and compare the predictive abilities of possibly misspecified density forecast models. The main advantage of this statistical tool is that we use the censored...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Kebangsaan Malaysia
2009
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| Online Access: | http://journalarticle.ukm.my/77/ http://journalarticle.ukm.my/77/ http://journalarticle.ukm.my/77/1/ |