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.

中文翻译：

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回测全球风险增长

我们对24个经合组织国家的风险成长预测进行了样本外回测。我们考虑根据分位数回归和GARCH模型构建的预测。分位数回归预测基于一组最近提出的对GDP下行风险的度量，包括国家金融状况指数。回测结果表明，分位数回归和GARCH预测具有相似的性能。如果有的话，我们的证据表明，诸如GARCH（1,1）之类的标准波动率模型更为准确。