Finance & Financial Econometrics : 
Time: 10.30 am
Date: 23th of March 2023
Room 3001

Christian BROWNLEES (Universitat Pompeu Fabra) “Backtesting Global Growth-at-Risk”

Abstract : We conduct an out-of-sample backtesting exercise of Growth-at-Risk (GaR) predictions for 24 OECD countries. We consider forecasts constructed from quantile regression and GARCH models. The quantile regression forecasts are based on a set of recently proposed measures of downside risks to GDP, including the national financial conditions index. The backtesting results show that quantile regression and GARCH forecasts have a similar performance. If anything, our evidence suggests that standard volatility models such as the GARCH(1,1) are more accurate.

Joint work : Andre M.B. Souza (ESADE).

Organizers:

Jean-Michel ZAKOIAN (CREST)

Sponsors:
CREST