Comparing the accuracy of density forecasts from competing GARCH models

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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...

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Bibliographic Details
Main Authors:	Abu Hassan Shaari Mohd Nor, Ahmad Shamiri, Zaidi Isa
Format:	Article
Language:	English
Published:	Universiti Kebangsaan Malaysia 2009
Online Access:	http://journalarticle.ukm.my/77/ http://journalarticle.ukm.my/77/1/

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