FORECASTING FINANCIAL PROCESSES BY USING DIFFUSION MODELS
DOI:
https://doi.org/10.12775/AUNC_ECON.2009.047Keywords
diffusion models, ex post forecasts, Monte-Carlo simulation, the GARCH model, the ARIMA model, unit-rootAbstract
Time series forecasting is one of the most important issue in the financial econometrics. In the face of grown interest of models with continuous time and quick development of methods of their estimation, we try to use to modeling and forecasting time series from two different financial markets by using diffusion models. We use Monte-Carlo-based method which was introduced by Cziraky i Kucherenko (2008). Quality of received forecasts is confronted with common applied parametrical time series models.
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