This paper investigates the forecasting performance for credit default swap (CDS) spreads by Support Vector Machines (SVM), Group Method of Data Handling (GMDH), Long Short-Term Memory (LSTM) and Markov switching autoregression (MSA) for daily CDS spreads of the 513 leading US companies, in the period 2009–2020. The goal of this study is to test the forecasting performance of these methods before and during the Covid-19 pandemic and to check whether there are changes in the market efficiency. MSA outperforms all other methods most frequently. GMDH breaks the efficient market hypothesis more frequently (75%) than other methods. The change of the relative predictability during Covid-19 is small with some increase of the advantage of the investigated methods over a benchmark. We find that the market has been less efficient during Covid-19, however, there are no huge differences in prediction performances before and during the Covid-19 period..
Original languageEnglish
Article number116553
JournalExpert Systems with Applications
Volume194
Issue number3
DOIs
StatePublished - 2022

    Research areas

  • CDS spreads, SVM, GMDH, LSTM, Markov switching autoregression, Covid-19

ID: 101791811