Farrukh Javed

Universitetslektor

GARCH-Type models and the performance of information criteria

Författare

Farrukh Javed
Panagiotis Mantalos

Summary, in English

This article discusses the ability of information criteria toward the correct selection of different especially higher-order generalized autoregressive conditional heteroscedasticity (GARCH) processes, based on their probability of correct selection as a measure of performance. Each of the considered GARCH processes is further simulated at different parameter combinations to study the possible effect of different volatility structures on these information criteria. We notice an impact from the volatility structure of time series on the performance of these criteria. Moreover, the influence of sample size, having an impact on the performance of these criteria toward correct selection, is observed.

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