Please use this identifier to cite or link to this item: https://hdl.handle.net/10593/13093
Title: Porównanie zdolności prognostycznej modeli zmienności indeksu WIG20 za pomocą testu SPA
Authors: Buszkowska-Khemissi, Eliza
Keywords: SPA
GARCH
WIG20
Prognozy
Issue Date: 2008
Publisher: Wydział Nauk Ekonomicznych i Zarządzania
Citation: Studia i Prace vol 10 , 2008, pp. 383-393
Abstract: The test of Superior Predictive Ability allows to test weather a partivular forecasting procedure is outperformed by alternative forecasing models. The SPA test is useful in investigating wether any alternative forecasting model is better then the benchmark. The purpose of this paper is to use SPA method to determine whether the volatility forecasts from some selected simple volatility models fitted to WIG20 are outperformed by those from more sophistcated ones. Morover, we check the impect of different factors on the results of the test.
URI: http://hdl.handle.net/10593/13093
ISSN: 1899-2382
Appears in Collections:Artykuły naukowe (WPiA)

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