Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/322158 
Erscheinungsjahr: 
2025
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. TI 2025-036/III
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
Point forecasts of score-driven models have been shown to behave at par with those of state-space models under a variety of circumstances. We show, however, that density rather than point forecasts of plain-vanilla score-driven models substantially underperform their state-space counterparts in a factor model context. We uncover the origins of this phenomenon and show how a simple adjustment of the measurement density of the score-driven model can put score-driven and state-space models approximately back on an equal footing again. The score-driven models can subsequently easily be extended with non-Gaussian features to fit the data even better without complicating parameter estimation. We illustrate our findings using a factor model for the implied volatility surface of S&P500 index options data.
Schlagwörter: 
implied volatility surface dynamics
score-driven model
state-space model
dynamic factor model
density forecasting
JEL: 
C32
C38
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
1.34 MB





Publikationen in EconStor sind urheberrechtlich geschützt.