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Backtesting global growth-at-risk

Research output: Indexed journal article › Article › peer-review

60 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)312-330
Number of pages18
JournalJournal of Monetary Economics
Volume118
Issue numberMarch 2021
DOIs
Publication statusPublished - 1 Mar 2021
Externally publishedYes

Keywords

  • Growth-at-Risk
  • Backtesting
  • Quantile regression
  • GARCH

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