Skip to main content
Journal cover image

Prediction in dynamic models with time-dependent conditional variances

Publication ,  Journal Article
Baillie, RT; Bollerslev, T
Published in: Journal of Econometrics
January 1, 1992

This paper considers forecasting the conditional mean and variance from a single-equation dynamic model with autocorrelated disturbances following an ARMA process, and innovations with time-dependent conditional heteroskedasticity as represented by a linear GARCH process. Expressions for the minimum MSE predictor and the conditional MSE are presented. We also derive the formula for all the theoretical moments of the prediction error distribution from a general dynamic model with GARCH(1, 1) innovations. These results are then used in the construction of ex ante prediction confidence intervals by means of the Cornish-Fisher asymptotic expansion. An empirical example relating to the uncertainty of the expected depreciation of foreign exchange rates illustrates the usefulness of the results. © 1992.

Duke Scholars

Altmetric Attention Stats
Dimensions Citation Stats

Published In

Journal of Econometrics

DOI

ISSN

0304-4076

Publication Date

January 1, 1992

Volume

52

Issue

1-2

Start / End Page

91 / 113

Related Subject Headings

  • Econometrics
  • 4905 Statistics
  • 3802 Econometrics
  • 3801 Applied economics
  • 1403 Econometrics
  • 1402 Applied Economics
  • 0104 Statistics
 

Citation

APA
Chicago
ICMJE
MLA
NLM
Baillie, R. T., & Bollerslev, T. (1992). Prediction in dynamic models with time-dependent conditional variances. Journal of Econometrics, 52(1–2), 91–113. https://doi.org/10.1016/0304-4076(92)90066-Z
Baillie, R. T., and T. Bollerslev. “Prediction in dynamic models with time-dependent conditional variances.” Journal of Econometrics 52, no. 1–2 (January 1, 1992): 91–113. https://doi.org/10.1016/0304-4076(92)90066-Z.
Baillie RT, Bollerslev T. Prediction in dynamic models with time-dependent conditional variances. Journal of Econometrics. 1992 Jan 1;52(1–2):91–113.
Baillie, R. T., and T. Bollerslev. “Prediction in dynamic models with time-dependent conditional variances.” Journal of Econometrics, vol. 52, no. 1–2, Jan. 1992, pp. 91–113. Scopus, doi:10.1016/0304-4076(92)90066-Z.
Baillie RT, Bollerslev T. Prediction in dynamic models with time-dependent conditional variances. Journal of Econometrics. 1992 Jan 1;52(1–2):91–113.
Journal cover image

Published In

Journal of Econometrics

DOI

ISSN

0304-4076

Publication Date

January 1, 1992

Volume

52

Issue

1-2

Start / End Page

91 / 113

Related Subject Headings

  • Econometrics
  • 4905 Statistics
  • 3802 Econometrics
  • 3801 Applied economics
  • 1403 Econometrics
  • 1402 Applied Economics
  • 0104 Statistics