0
$\begingroup$

How do the prediction intervals for ARIMA models compare with ARIMA-GARCH models? Should we expect the prediction intervals for one to be narrower/wider than the other?

$\endgroup$
  • $\begingroup$ What do you think about my answer? If it is unclear, you may ask for clarification. If it is clear, you may accept it by clicking on the tick mark to the left. This is how Cross Validated works. $\endgroup$ – Richard Hardy May 6 '18 at 18:08
1
$\begingroup$

No, we would not generally expect narrower or wider intervals on average. We would expect that the intervals (for a fixed-length forecast horizon) would have varying width over time if produced by an ARIMA-GARCH model but constant width if produced by an ARIMA model. This is because ARIMA model assumes the error variance (conditional on past information) is constant over time while ARIMA-GARCH takes it to be time varying.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.