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Prediction Value Estimation in Transformed GARCH Models
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 Title & Authors
Prediction Value Estimation in Transformed GARCH Models
Park, Ju-Yeon; Yeo, In-Kwon;
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 Abstract
In this paper, we introduce the method that reduces the bias when the transformation and back-transformation approach is applied in GARCH models. A parametric bootstrap is employed to compute the conditional expectation which is the prediction value to minimize mean square errors in the original scale. Through the analyese of returns of KOSPI and KOSDAQ, we verified that the proposed method provides a bias-reduced estimation for the prediction value.
 Keywords
Minimum mean square error;parametric bootstrap;Yeo-Johnson transformation;
 Language
Korean
 Cited by
1.
KOSPI지수와 원-달러 환율의 변동성의 비대칭성에 대한 실증연구,맹혜영;신동완;

응용통계연구, 2011. vol.24. 6, pp.1033-1043 crossref(new window)
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