The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
Todd E. Clark and Francesco Ravazzolo
| Year of publication: |
2012
|
|---|---|
| Authors: | Clark, Todd E. ; Ravazzolo, Francesco |
| Publisher: |
Cleveland, Ohio : Federal Reserve Bank of Cleveland |
| Subject: | Stochastic volatility | GARCH | forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Theorie | Theory | Stochastischer Prozess | Stochastic process | Wirtschaftsprognose | Economic forecast | Zeitreihenanalyse | Time series analysis | Autokorrelation | Autocorrelation |