Detalle Publicación

ARTÍCULO
Forecasting interest rate volatility of the United Kingdom: evidence from over 150 years of data
Autores: Hassani, H. (Autor de correspondencia); Yeganegi, M. R.; Cuñado Eizaguirre, Juncal; Gupta, R.
Título de la revista: JOURNAL OF APPLIED STATISTICS
ISSN: 0266-4763
Volumen: 47
Número: 6
Páginas: 1128 - 1143
Fecha de publicación: 2020
Lugar: WOS
Resumen:
This study examines the very short, short, medium and long-term forecasting ability of different univariate GARCH models of United Kingdom (UK)'s interest rate volatility, using a long span monthly data from May 1836 to June 2018. The main results show the relevance of considering alternative error distributions to the normal distribution when estimating GARCH-type models. Thus, we obtain that the Asymmetric Power ARCH (A-PARCH) models with skew generalized error distribution are the most accurate models when forecasting UK interest rates, while for the short, medium and long-term term forecasting horizons, GARCH models with generalized error distribution for the error term are the most accurate models in forecasting UK's interest rates.