In statistical modeling contexts, the use of one-step-ahead prediction errors for testing hypotheses on the forecasting ability of an assumed model has been widely considered (see, e.g. Xekalaki et al. (2003, in Stochastic Musings, J.Panaretos (ed.), Laurence Erlbaum), Degiannakis and Xekalaki...

Most of the methods used in the ARCH literature for selecting the appropriate model are based on evaluating the ability of the models to describe the data. An alternative model selection approach is examined based on the evaluation of the predictability of the models on the basis of standardized...