Evaluating interval forecasts of high-frequency financial data

Clements, Michael P. and Taylor, Nick James 2003. Evaluating interval forecasts of high-frequency financial data. Journal of Applied Econometrics 18 (4) , pp. 445-456. 10.1002/jae.703

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Abstract

A number of methods of evaluating the validity of interval forecasts of financial data are analysed, and illustrated using intraday FTSE100 index futures returns. Some existing interval forecast evaluation techniques, such as the Markov chain approach of Christoffersen (1998), are shown to be inappropriate in the presence of periodic heteroscedasticity. Instead, we consider a regression-based test, and a modified version of Christoffersen's Markov chain test for independence, and analyse their properties when the financial time series exhibit periodic volatility. These approaches lead to different conclusions when interval forecasts of FTSE100 index futures returns generated by various GARCH(1,1) and periodic GARCH(1,1) models are evaluated. Copyright

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > HB Economic Theory H Social Sciences > HG Finance
Publisher:	Wiley-Blackwell
ISSN:	1099-1255
Last Modified:	25 Jun 2017 01:43
URI:	https://orca.cardiff.ac.uk/id/eprint/2852

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