Selection of the Informative Base in ARMA-GARCH Models

Abstract

In this paper we consider the selection of the information set in ARMA-GARCH models using the methodology proposed in Muñoz et al. (2001) based on ideas of Phillips (1996). To that end, we analyse the performance of some selection criteria asymptotically equivalent to the Bayes factor and propose a method to build approximated Bayesian forecast intervals.ARMA, GARCH, Prediction , Model Selection, Information Set Selection