The performance of SETAR models: a regime conditional evaluation of point, interval and density forecasts
Boero, Gianna and Marrocu, Emanuela (2003) The performance of SETAR models: a regime conditional evaluation of point, interval and density forecasts. Working Paper. Coventry: University of Warwick, Department of Economics. Warwick economic research papers (No.663).
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The aim of this paper is to analyse the out-of-sample performance of SETAR models relative to a linear AR and a GARCH model using daily data for the Euro effective exchange rate. The evaluation is conducted on point, interval and density forecasts, unconditionally, over the whole forecast period, and conditional on specific regimes. The results show that overall the GARCH model is better able to capture the distributional features of the series and to predict higher-order moments than the SETAR models. However, from the results there is also a clear indication that the performance of the SETAR models improves significantly conditional on being on specific regimes.
|Item Type:||Working or Discussion Paper (Working Paper)|
|Subjects:||H Social Sciences > HG Finance|
|Divisions:||Faculty of Social Sciences > Economics|
|Library of Congress Subject Headings (LCSH):||Euro zone, Foreign exchange rates -- Europe, Density functionals, Economic forecasting -- Europe|
|Series Name:||Warwick economic research papers|
|Publisher:||University of Warwick, Department of Economics|
|Place of Publication:||Coventry|
|Official Date:||January 2003|
|Number of Pages:||35|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
ANDERSON, G. (1994), “Simple tests of distributional form”, Journal of Econometrics, 62, 265-276.
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