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- Mon Jul 25, 2016 10:27 am
- Forum: Estimation
- Topic: Superior Predictive Ability test for GARCH models comparison
- Replies: 0
- Views: 2619
Superior Predictive Ability test for GARCH models comparison
Hi All, hope someone can give me some tips on this topic! I want to use the Test of Superior Predictive Ability of Hansen (2001) to compare the forecast power of different GARCH-type models. I have the models which I want to compare, I have the out-of-the-sample forecast and I understood the purpose...