Prediction regions for interval-valued time series |
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Authors: | Gloria Gonzalez-Rivera Yun Luo Esther Ruiz |
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Institution: | 1. Department of Economics, University of California, Riverside, California;2. Department of Statistics, Universidad Carlos III de Madrid, Madrid, Spain |
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Abstract: | We approximate probabilistic forecasts for interval-valued time series by offering alternative approaches. After fitting a possibly non-Gaussian bivariate vector autoregression (VAR) model to the center/log-range system, we transform prediction regions (analytical and bootstrap) for this system into regions for center/range and upper/lower bounds systems. Monte Carlo simulations show that bootstrap methods are preferred according to several new metrics. For daily S&P 500 low/high returns, we build joint conditional prediction regions of the return level and volatility. We illustrate the usefulness of obtaining bootstrap forecasts regions for low/high returns by developing a trading strategy and showing its profitability when compared to using point forecasts. |
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