Forecasting performance of mixed data sampling (MIDAS) regressions, autoregressive distributed lag (ADL) model and hybrid of GARCH-MIDAS model: a comparative study

• 主要な著者: Bawa, M. U., Shabri, Anil, Dikko, H. G., Garba, J., Sadiku, S.
• フォーマット: 論文
• 言語: English
• 出版事項: JMPES 2021
• 主題: QA Mathematics
• オンライン･アクセス: http://eprints.utm.my/id/eprint/97762/1/AnilShabri2021_ForecastingPerformance0fMixedDataSampling.pdf; http://eprints.utm.my/id/eprint/97762/; https://www.mathematicaljournal.com/archives/2021.v2.i1.A.19

This paper considers the Comparison of forecasting performance between Mixed Data sampling (MIDAS) Regressions model, Autoregressive distributed lag (ARDL) Model and hybrid of GARCH-MIDAS. The data employed for this study was secondary type in nature for all the variables and it is obtained from the...