Peter R. Hansen and Asger Lunde, "A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?", Journal of Applied Econometrics, Vol. 20, No. 7, 2005, pp. 873-889. The volatility (conditional variance) forecasts are generated from the following 55 base GARCH-type models. LGARCH(1,0) LGARCH(1,1) LGARCH(2,1) LGARCH(1,2) LGARCH(2,2) IGARCH(1,1) IGARCH(2,1) IGARCH(1,2) IGARCH(2,2) TS-GARCH(1,1) TS-GARCH(2,1) TS-GARCH(1,2) TS-GARCH(2,2) A-GARCH(1,1) A-GARCH(2,1) A-GARCH(1,2) A-GARCH(2,2) NA-GARCH(1,1) NA-GARCH(2,1) NA-GARCH(1,2) NA-GARCH(2,2) V-GARCH(1,1) V-GARCH(2,1) V-GARCH(1,2) V-GARCH(2,2) THR-GARCH(1,1) THR-GARCH(2,1) THR-GARCH(1,2) THR-GARCH(2,2) GJR-GARCH(1,1) GJR-GARCH(2,1) GJR-GARCH(1,2) GJR-GARCH(2,2) LOG-GARCH(1,1) LOG-GARCH(2,1) LOG-GARCH(1,2) LOG-GARCH(2,2) EGARCH(1,1) EGARCH(2,1) EGARCH(1,2) EGARCH(2,2) NGARCH(1,1) NGARCH(2,1) NGARCH(1,2) NGARCH(2,2) A-PARCH(1,1) A-PARCH(2,1) A-PARCH(1,2) A-PARCH(2,2) GQ-ARCH(1,1) GQ-ARCH(2,1) GQ-ARCH(1,2) GQ-ARCH(2,2) H-GARCH(1,1) AUG-GARCH(1,1) These models are combined with a mean equation and an error distribution as follows: 1-55: Zero mean and Gaussian errors 56-110: Const mean and Gaussian errors 111-165: Const + GARCH-in-Mean and Gaussian errors 166-210: Zero mean and t-distributed errors 211-265: Const mean and t-distributed errors 266-330: Const + GARCH-in-Mean and t-distributed errors The forecasts from these models are listed in the columns of yhatexch_dat.mat: DM/Dollar exchange rate data yhatibm_dat.mat: IBM stock returns Note that the first column in yhatibm_dat.mat is the dates. No dates are given for yhatexch_dat.mat. These series are all forecasts of the conditional variance. The model evaluation is performed by comparing the forecast to a proxy for the latent conditional variance. These proxies are listed in the columns of: yexch_dat.mat: DM/Dollar exchange rate data. The columns contain: 1. Realized variance based on squared 5min linearly interpolated intraday return, 2. Squared close-to-close returns yibm_dat.mat: IBM stock returns. The columns contain 1. Date 2. Spline-50, 3 min sampling 3. Spline-250, 2 min sampling 4. Fourier, M=85 5. Linear interpolation, 5 min sampling 6. Previous tick, 5 min sampling 7. Linear interpolation, 1 min sampling 8. Previous tick , 1 min sampling The results presented in Table 2 and 3 are produced by the Ox programs beatgarch-tab2.ox and beatgarch-tab3.ox. All that is needed to run these programs are in the archive. For instructions of how to proceed please consult the document SPA-Manual.pdf. The results will be saved in a directory named Output. Note that the first line of each of the *.mat files contains the number of rows and columns in the remainder of the file. All four of these files, which are ASCII files in DOS format, are zipped in the file hl-data.zip. The program files beatgarch-tab2.ox, beatgarch-tab3.ox, spa_src.h, and spa_src.oxo are zipped in the file hl-progs.zip. If you have any questions or problems, please contact: Asger Lunde Aarhus School of Business Department of Information Science Fuglesangs Allé 4 8210 Aarhus V Denmark email: alunde@asb.dk