Accessibility navigation


Forecasting exchange rate volatility using conditional variance models selected by information criteria

Brooks, C. and Burke, S. (1998) Forecasting exchange rate volatility using conditional variance models selected by information criteria. Economics Letters, 61 (3). pp. 273-278. ISSN 0165-1765

[img]
Preview
Text - Accepted Version
· Please see our End User Agreement before downloading.

190kB

To link to this item DOI: 10.1016/S0165-1765(98)00178-5

Abstract/Summary

This paper uses appropriately modified information criteria to select models from the GARCH family, which are subsequently used for predicting US dollar exchange rate return volatility. The out of sample forecast accuracy of models chosen in this manner compares favourably on mean absolute error grounds, although less favourably on mean squared error grounds, with those generated by the commonly used GARCH(1, 1) model. An examination of the orders of models selected by the criteria reveals that (1, 1) models are typically selected less than 20% of the time.

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:35984
Publisher:Elsevier

Downloads

Downloads per month over past year

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation