Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/119703
Authors: 
Forte, Gianfranco
Manera, Matteo
Year of Publication: 
2002
Series/Report no.: 
Nota di Lavoro, Fondazione Eni Enrico Mattei 98.2002
Abstract: 
This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock price indexes. Forecasts produced by each non-linear GARCH model and each index are evaluated using a common set of classical criteria, as well as forecast combination techniques with constant and non-constant weights. With respect to the standard GARCH specification, the non-linear models generally lead to better forecasts in terms of both smaller forecast errors and lower biases. In-sample forecast combination regressions are better than those from single Mincer-Zarnowitz regressions. The out-of-sample performance of combining forecasts is less satisfactory, irrespective of the type of weights adopted.
Subjects: 
Volatility
GARCH
forecast evaluation
JEL: 
A10
C10
C50
G10
Document Type: 
Working Paper

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