Publisher: John Wiley & Sons Inc
E-ISSN: 1099-131x|37|2|133-150
ISSN: 0277-6693
Source: JOURNAL OF FORECASTING, Vol.37, Iss.2, 2018-03, pp. : 133-150
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Abstract
In this paper, we present a comparison between the forecasting performances of the normalization and variance stabilization method (NoVaS) and the GARCH(1,1), EGARCH(1,1) and GJR‐GARCH(1,1) models. Hence the aim of this study is to compare the out‐of‐sample forecasting performances of the models used throughout the study and to show that the NoVaS method is better than GARCH(1,1)‐type models in the context of out‐of sample forecasting performance. We study the out‐of‐sample forecasting performances of GARCH(1,1)‐type models and NoVaS method based on generalized error distribution, unlike normal and Student's