encouraging. In a pseudo out-of-sample exercise, our approach beats relevant benchmarks for forecasting CPI inflation and an …

The main goal of the article is to investigate forecasting quality of two approaches to modelling main macroeconomic … accuracy not inferior to that of structural models. Additional advantage of their approach is that the forecasting procedure … can be mostly automated and the influence of subjective decisions made in the forecasting process can be significantly …

This paper discusses identification, specification, estimation and forecasting for a general class of periodic … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …

the Nigeria stock market. The EGARCH model is found to be the most efficient for forecasting volatilities and has the … years. The forecasting performance shows the volatility in the Nigeria stock market to be on the increase for the next four …

forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …

able to provide more accurate forecasting results than linear models. Therefore, simple autoregressive processes are … observations and autoregression residuals. The proposed forecasting models are applied to a large set of macroeconomic and … autoregression residuals, are somewhat able to provide better forecasting results than simple linear models. Thus, it may be …