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The performance of Setar Models: a regime conditional evaluation of point, interval and density forecasts

Boero, Gianna - Marrocu, Emanuela (2002) The performance of Setar Models: a regime conditional evaluation of point, interval and density forecasts. Working Paper. CRENoS.

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Official URL: http://www.crenos.it/working/pdf/02-08.pdf

Abstract

The aim of this paper is to analyse the out-of-sample performance of SETAR models relative to a linear AR and a GARCH model using daily data for the Euro effective exchange rate. The evaluation is conducted on point, interval and density forecasts, unconditionally, over the whole forecast period, and conditional on specific regimes. The results show that overall the GARCH model is better able to capture the distributional features of the series and to predict higher-order moments than the SETAR models. However, from the results there is also a clear indication that the performance of the SETAR models improves significantly conditional on being on specific regimes.

Item Type:Technical Report / Working Paper / Project Report (Working Paper)
Publisher:CRENoS
Date:2002
Institution:Universita' degli Studi di Cagliari
Divisions:Centri > CRENoS Centro Ricerche Economiche Nord Sud
Subjects:Area 13 - Scienze economiche e statistiche > SECS-P/05 Econometria
Uncontrolled Keywords:SETAR models, Forecasting accuracy, Point forecasts, MSFEs, Interval forecasts, Density forecasts, Euro effective exchange rate
ID Code:275
Deposited On:11 Nov 2008 11:02

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