UNSPECIFIED. (2003) Evaluating interval forecasts of high-frequency financial data. JOURNAL OF APPLIED ECONOMETRICS, 18 (4). pp. 445-456. ISSN 0883-7252

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Abstract

A number of methods of evaluating the validity of interval forecasts of financial data are analysed, and illustrated using intraday FTSE100 index futures returns. Some existing interval forecast evaluation techniques, such as the Markov chain approach of Christoffersen (1998), are shown to be inappropriate in the presence of periodic heteroscedasticity. Instead, we consider a regression-based test, and a modified version of Christoffersen's Markov chain test for independence, and analyse their properties when the financial time series exhibit periodic volatility. These approaches lead to different conclusions when interval forecasts of FTSE100 index futures returns generated by various GARCH(1,1) and periodic GARCH(1,1) models are evaluated. Copyright (C) 2003 John Wiley Sons, Ltd.

Item Type:	Journal Article
Subjects:	H Social Sciences > HC Economic History and Conditions H Social Sciences
Journal or Publication Title:	JOURNAL OF APPLIED ECONOMETRICS
Publisher:	JOHN WILEY & SONS LTD
ISSN:	0883-7252
Date:	July 2003
Volume:	18
Number:	4
Number of Pages:	12
Page Range:	pp. 445-456
Identification Number:	10.1002/jae.703
Publication Status:	Published
URI:	http://wrap.warwick.ac.uk/id/eprint/9430

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