This preview shows page 1. Sign up to view the full content.
Unformatted text preview: s not achieved. t5 distribution replicates
heavy tails of residuals quite well (based on the histogram),
therefore we may use quantiles of this distribution for obtaining
Xt +h ± tα/2,5 · s.e.(Rt ),
where Xt +h – point forecast; Rt – estimated residuals.
In R, tα/2,5 can be obtained by:
> alpha <- 0.05
> qt(alpha/2, df=5)
Compare with normal distribution:
> qnorm(alpha/2, 0, 1)
GARCH model for DAX time series Other approaches: Q-Q plot Instead of using the histogram superimposing, the model distribution
for residuals may be selected using Q-Q plot.
However, in R some extra coding is required to compare the
quantiles from observed data with those from hypothesized
distribution if the latter is not normal. The function qqnorm is only
for normal Q-Q plots. GARCH model for DAX time series Other approaches: bootstrap
Alternatively, we may bootstrap the residuals (sample with
replacement many times) and obtain the quantiles f...
View Full Document
This note was uploaded on 08/04/2013 for the course ECON 201 taught by Professor Vandewaal during the Spring '09 term at Waterloo.
- Spring '09