In all areas of human knowledge, datasets are increasing in both size and complexity, creating the need for richer statistical models. This trend is also true for economic data, where high-dimensional and nonlinear/noparametric inference is the norm in several fields of applied econometric work....

Summary This paper demonstrates the cases where bootstrap does not work for heteroscedastic time series models. We construct prediction intervals for the ARMA-GARCH models using bootstrap and see how a wrong application of bootstrap could lead to a false conclusion