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Sains
Malaysiana 38(1): 109-118(2009)
Comparing
the Accuracy of Density Forecasts
from
Competing GARCH Models
(Perbandingan Ketepatan Ramalan Ketumpatan Antara Model-Model GARCH)
Abu
Hassan Shaari Mohd Nor*
School
of Economics Studies, Faculty of Economics and Business
Universiti
Kebangsaan Malaysia, 43600 UKM Bangi, Selangor
Malaysia
Ahmad Shamiri
& Zaidi Isa
Faculty
of Science and Technology, Universiti Kebangsaan Malaysia
43600
UKM Bangi, Selangor
Malaysia
Received: 20 January 2008 / Accepted: 12 May
2008
ABSTRACT
In
this research we introduce an analyzing procedure using the Kullback-Leibler
information criteria (KLIC) as a statistical tool to evaluate and compare the
predictive abilities of possibly misspecified density forecast models. The main
advantage of this statistical tool is that we use the censored likelihood
functions to compute the tail minimum of the KLIC, to compare the performance
of a density forecast models in the tails. Use of KLIC is practically
attractive as well as convenient, given its equivalent of the widely used LR
test. We include an illustrative simulation to compare a set of distributions,
including symmetric and asymmetric distribution, and a family of GARCH
volatility models. Our results on simulated data show that the choice of the
conditional distribution appears to be a more dominant factor in determining
the adequacy and accuracy (quality) of density forecasts than the choice of
volatility model.
Keywords:
Conditional distribution; density; forecast accuracy; GARCH; Kullback-Leibler
information criteria
ABSTRAK
Kajian
ini memperkenalkan prosedur kriteria maklumat Kullback-Leibler (KLIC) sebagai
alat statistik untuk menilai dan membandingkan kemampuan model peramalan ketumpatan
yang mengalami kesilapan spesifikasi. Kelebihan utama kaedah ini ialah penggunaan fungsi kebolehjadian
terpangkas untuk mendapatkan nilai hujung minimum KLIC dan membandingkan prestasi peramalan
ketumpatan tersebut. Penggunaan kaedah KLIC ini adalah sangat sesuai dan mudah
serta mempunyai persamaan dengan ujian LR. Pendekatan simulasi untuk menjana
data telah digunakan untuk membandingkan prestasi peramalan ketumpatan untuk berbagai-bagai-bagai
jenis taburan termasuk taburan simetri, tidak simetri dan model-model daripada
keluarga GARCH. Hasil analisis terhadap data simulasi menunjukkan bahawa
pemilihan jenis taburan bersyarat adalah
faktor yang lebih dominan dalam menentukan ketepatan dan kualiti peramalan
ketumpatan berbanding dengan jenis model
kemeruapan yang digunakan.
Kata
kunci: Ketumpatan; ketepatan ramalan;
GARCH; kriteria maklumat Kullback-Leibler; taburan bersyarat
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* Corresponding Author
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