Menelaos G. Karanasos
Abstract
This paper considers forecasting the conditional mean and variance from an ARMA model with GARCH in mean effects. Expressions for the optimal predictors and their conditional and unconditional MSEs are presented. We also derive the formula for the covariance structure of the process and its conditional variance. JEL. C22.
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This paper considers forecasting the conditional mean and variance from an ARMA model with GARCH in mean effects. Expressions for the optimal predictors and their conditional and unconditional MSEs are presented. We also derive the formula for the covariance structure of the process and its conditional variance. JEL. C22.
Key concepts: Conditional variance, Mathematics, Autoregressive conditional heteroskedasticity, Conditional expectation, Econometrics, Variance (accounting), Covariance, Statistics