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The performance of SETAR models: a regime conditional evaluation of point, interval and density forecasts
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UNSPECIFIED. (2004) The performance of SETAR models: a regime conditional evaluation of point, interval and density forecasts. INTERNATIONAL JOURNAL OF FORECASTING, 20 (2). pp. 305-320. ISSN 0169-2070
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Official URL: http://dx.doi.org/10.1016/j.ijforecast.2004.09.011
Abstract
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 (euro-EER). 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. (C) 2004 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
| Item Type: | Journal Article |
|---|---|
| Subjects: | H Social Sciences > HC Economic History and Conditions H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management |
| Journal or Publication Title: | INTERNATIONAL JOURNAL OF FORECASTING |
| Publisher: | ELSEVIER SCIENCE BV |
| ISSN: | 0169-2070 |
| Date: | April 2004 |
| Volume: | 20 |
| Number: | 2 |
| Number of Pages: | 16 |
| Page Range: | pp. 305-320 |
| Identification Number: | 10.1016/j.ijforecast.2004.09.011 |
| Publication Status: | Published |
| URI: | http://wrap.warwick.ac.uk/id/eprint/8463 |
Data sourced from Thomson Reuters' Web of Knowledge
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