GARCH-Type Models and Performance of Information Criteria |
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Authors: | Farrukh Javed Panagiotis Mantalos |
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Institution: | 1. Department of Statistics , Lund University , Lund , Sweden;2. Department of Statististics , ?rebro University , ?rebro , Sweden |
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Abstract: | This article discusses the ability of information criteria toward the correct selection of different especially higher-order generalized autoregressive conditional heteroscedasticity (GARCH) processes, based on their probability of correct selection as a measure of performance. Each of the considered GARCH processes is further simulated at different parameter combinations to study the possible effect of different volatility structures on these information criteria. We notice an impact from the volatility structure of time series on the performance of these criteria. Moreover, the influence of sample size, having an impact on the performance of these criteria toward correct selection, is observed. |
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Keywords: | GARCH Leverage Spillover Volatility |
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