Forecasting volatility in developing countries’ nominal exchange returns

Autor:	Nikolaos Antonakakis, Julia Darby
Rok vydání:	2013
Předmět:	Economics and Econometrics Financial economics jel:F31 Developing country Exchange rate volatility / estimation / forecasting / developing countries jel:C32 jel:E58 Exchange rate volatility estimation forecasting developing countries jel:G15 JEL C32 F31 G15 Economics Volatility (finance) Finance
Zdroj:	Applied Financial Economics. 23:1675-1691
ISSN:	1466-4305 0960-3107
DOI:	10.1080/09603107.2013.844323
Popis:	This article identifies the best models for forecasting the volatility of daily exchange returns of developing countries. An emerging consensus in the recent literature focusing on industrialized countries has noted the superior performance of the Fractionally Integrated Generalized Autoregressive Conditionally Heteroscedastic (FIGARCH) model in the case of industrialized countries, a result that is reaffirmed here. However, we show that when dealing with developing countries' data the IGARCH model results in substantial gains in terms of the in-sample results and out-of-sample forecasting performance. (authors' abstract)
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::20ce7c237b786d2929c8a64733463e76 https://doi.org/10.1080/09603107.2013.844323 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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