BLOCK BOOTSTRAP PREDICTION INTERVALS FOR GARCH PROCESSES

BEYAZTAŞ B. H., Beyaztas U.

REVSTAT-STATISTICAL JOURNAL, cilt.18, sa.4, ss.397-414, 2020 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 18 Sayı: 4
  • Basım Tarihi: 2020
  • Dergi Adı: REVSTAT-STATISTICAL JOURNAL
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus, zbMATH
  • Sayfa Sayıları: ss.397-414
  • Marmara Üniversitesi Adresli: Hayır

Özet

In this paper, we propose a new resampling algorithm based on block bootstrap to obtain prediction intervals for future returns and volatilities of GARCH processes. The finite sample properties of the proposed methods are illustrated by an extensive simulation study and they are applied to Japan Yen (JPY) / U.S. dollar (USD) daily exchange rate data. Our results indicate that: