English, Article edition: Parsimonious principle of GARCH models: a Monte-Carlo approach Jing Wu

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/8891
Physical Description
  • article
Language
  • English

Edition details

Title
  • Parsimonious principle of GARCH models: a Monte-Carlo approach
Author
  • Jing Wu
Physical Description
  • article
Notes
  • Purpose – This paper is intended to test the robustness of the fitness of nested GARCH models. Design/​methodology/​approach – Both Monte-Carlo simulation data and real-world data are used in the paper. Likelihood-family tests are used to test in-sample fitness, while mean-squared prediction error is employed for out-sample prediction tests. Findings – The paper finds that, generally, the parsimonious principle is found to work well for both criteria. However, it is found that conflict exists between the two criteria: in-sample likelihood-family tests pay more attention to conditional distributions or are more sensitive to fat tail effects; while the out-sample criteria focus more on the accuracy of parameter estimation. Originality/​value – The paper shows that complexity does not necessarily mean good fitness; sometimes, the simpler model can fit better, especially for real-world data.
  • Financial data processing, Monte Carlo simulation, Research methods
  • RePEc:eme:jrfpps:v:7:y:2006:i:5:p:544-558
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment