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Forecasting volatility in developing countries' nominal exchange returns

Antonakakis, Nikolaos and Darby, Julia (2013) Forecasting volatility in developing countries' nominal exchange returns. Applied Financial Economics, 23 (21). pp. 1675-1691. ISSN 0960-3107

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Abstract

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)

Item Type: Article
Additional Information: To see the final version of this paper please visit the publisher's website. Access to the published version may require a subscription. The original publication is available at www.routledge.com.
Keywords: Exchange rate volatility / estimation / forecasting / developing countries
Classification Codes: JEL C32, F31, G15
Divisions: Departments > Volkswirtschaft > Internationale Wirtschaft
Version of the Document: Accepted for Publication
Variance from Published Version: Minor
Depositing User: Nikolaos Antonakakis
Date Deposited: 22 May 2014 11:35
Last Modified: 21 Dec 2014 15:32
Related URLs:
FIDES Link: https://bach.wu.ac.at/d/research/results/64090/
URI: http://epub.wu.ac.at/id/eprint/4114

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