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 language | English |
|---|---|
| Pages (from-to) | 312-330 |
| Number of pages | 18 |
| Journal | Journal of Monetary Economics |
| Volume | 118 |
| Issue number | March 2021 |
| DOIs | |
| Publication status | Published - 1 Mar 2021 |
| Externally published | Yes |
Keywords
- Growth-at-Risk
- Backtesting
- Quantile regression
- GARCH
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