Does the optimal model always perform the best? a combined approach for interval forecasting

• Main Authors: Arasan, Jayanthi, Zhang, Zhe, Chong, Choo W.E.I.
• Format: Article
• Published: Interscience Publishers 2023
• Online Access: http://psasir.upm.edu.my/id/eprint/107397/; https://www.inderscience.com/info/ingeneral/forthcoming.php?jcode=ijads
• Institution: Universiti Putra Malaysia

Interval forecasting is widely applied by decision makers for it can provide more comprehensive information. In the literature, GARCH models under different distributional assumptions are applied and evaluated to find the optimal interval forecasting model for the experimental data. However, the opt...