A comparative study of interval forecasting using GARCH models under symmetric and asymmetric distributional assumptions

• Main Authors: Arasan, Jayanthi, Chong, Choo W. E. I., Zhang, Zhe
• Format: Article
• Published: Interscience Publishers 2023
• Online Access: http://psasir.upm.edu.my/id/eprint/106393/; https://www.inderscience.com/info/ingeneral/forthcoming.php?jcode=ijads

Abstract: Interval forecasting provides decision-makers with a range of possible future values, along with associated probabilities, which allows for a more informed decision-making process. Although GARCH models under different distributional assumptions are commonly compared for their volatility f...