How do I create conditional density forecasts?

Johann

2013 7 23

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Hi all,

I have estimated several stochastic processes. In order to test for the goodness-of-fit I need to build first density forecasts equivalent to the following equation:

Can anyone explain how I could model this in Matlab?

Johann

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Johann 2013-7-23

Hi Shahank, thank you for your comment!

This approach was originally proposed by Diebold, Gunther and Tay (Evaluating Density Forecasts with Applications to Finance and Management, International Economic Review, 39, 863-883) For a quick overview see: https://dl.dropboxusercontent.com/u/22494387/2006-21-1.pdf (pdf-page 13)

They prove that z_t is identically and independently distributed as a uniform random variable on [0,1] if f(...) is correctly specified.