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Stationary Bootstrap Prediction Intervals for GARCH(p,q)
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 Title & Authors
Stationary Bootstrap Prediction Intervals for GARCH(p,q)
Hwang, Eunju; Shin, Dong Wan;
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 Abstract
The stationary bootstrap of Politis and Romano (1994) is adopted to develop prediction intervals of returns and volatilities in a generalized autoregressive heteroskedastic (GARCH)(p, q) model. The stationary bootstrap method is applied to generate bootstrap observations of squared returns and residuals, through an ARMA representation of the GARCH model. The stationary bootstrap estimators of unknown parameters are defined and used to calculate the stationary bootstrap samples of volatilities. Estimates of future values of returns and volatilities in the GARCH process and the bootstrap prediction intervals are constructed based on the stationary bootstrap; in addition, asymptotic validities are also shown.
 Keywords
GARCH model;stationary bootstrap;prediction;asymptotics;
 Language
English
 Cited by
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