Backtesting Global Growth-at-Risk

The Institute of Economics will hold a webinar meeting as part of its Seminar Series on Tuesday, December 15, 2020: Christian Brownlees from Universitat Pompeu Fabra will present the paper "Backtesting Global Growth-at-Risk".

Abstract:

The authors conduct an out-of-sample backtesting exercise of Growth-at-Risk (GaR) predictions for 24 OECD countries. They 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, the emerging evidence suggests that standard volatility models such as the GARCH(1,1) are more accurate.

The full paper is available here.

All interested participants are welcome to join online at the following link. External participants need to contact the organisers via email to grant access to the seminar.