| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0132 |
| 来源ID | Technical Working Paper 0132 |
| Filtering and Forecasting with Misspecified Arch Models II: Making the Right Forecast with the Wrong Model | |
| Daniel B. Nelson; Dean P. Foster | |
| 发表日期 | 1992-12-01 |
| 出版年 | 1992 |
| 语种 | 英语 |
| 摘要 | A companion paper (Nelson (1992)) showed that in data observed at high frequencies, an ARCH model may do a good job at estimating conditional variances, even when the ARCH model is severely misspecified. While such models may perform reasonably well at filtering (i.e., at estimating unobserved instantaneous conditional variances) they may perform disastrously at medium and long term forecasting. In this paper, we develop conditions under which a misspecified ARCH model successfully performs both tasks, filtering and forecasting. The key requirement (in addition to the conditions for consistent filtering) is that the ARCH model correctly specifies the functional form of the first two conditional moments of all state variables. We apply these results to a diffusion model employed in the options pricing literature, the stochastic volatility model of Hull and White (1987), Scott (1987), and Wiggins (1987). |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/t0132 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/561579 |
| 推荐引用方式 GB/T 7714 | Daniel B. Nelson,Dean P. Foster. Filtering and Forecasting with Misspecified Arch Models II: Making the Right Forecast with the Wrong Model. 1992. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0132.pdf（2855KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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