search query: @indexterm FORECASTING / total: 1417
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| Author: | Raaij, G. de Raunig, B. |
| Title: | Evaluating density forecasts from models of stock market returns |
| Journal: | European Journal of Finance
2005 : APR, VOL 11:2, p. 151-166 |
| Index terms: | Stock markets Forecasting Risk management Models |
| Language: | eng |
| Abstract: | In finance, density forecasts have become important. They also play a key role in modern risk management. This paper evaluates in- and out-of-sample density forecasts (here as: frcs.) of daily returns (here as: rets.) on the ATX, DAX, and S&P 500 stock market indices from models of financial rets. currently widely used in the financial industry. The results indicate that GARCH-t models produce good in-sample frcs. No model considered here delivers fully acceptable out-of-sample frcs. |
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