The Predictive Ability of Several Models of Exchange Rate Volatility
Author | : Kenneth David West |
Publisher | : |
Total Pages | : 24 |
Release | : 1994 |
ISBN-10 | : OCLC:29608046 |
ISBN-13 | : |
Rating | : 4/5 (46 Downloads) |
Download or read book The Predictive Ability of Several Models of Exchange Rate Volatility written by Kenneth David West and published by . This book was released on 1994 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and nonparametric models for conditional variances, using five bilateral weekly exchange rates for the dollar, 1973-1989. For a one week horizon, GARCH models tend to make slightly more accurate forecasts. For longer horizons, it is difficult to find grounds for choosing between the various models. None of the models perform well in a conventional test of forecast efficiency