In this paper we consider the selection of the information set in ARMA-GARCH models using the methodology proposed in Muñoz et al. (2001) based on ideas of Phillips (1996). To that end, we analyse the performance of some selection criteria asymptotically equivalent to the Bayes factor and...

In this paper, we extend predictor expressions from an ARMA model with GARCH(1,1) innovations that allow for the conditional variance to be a regressor variable. We also obtain all the theoretical moments of the multi-step prediction error distribution from this model. The forecast error has a...