Antonakakis, Nikolaos ORCID: https://orcid.org/0000-0002-0904-3678 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 |
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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 09:35 |
Last Modified: | 07 Nov 2019 09:09 |
Related URLs: | |
FIDES Link: | https://bach.wu.ac.at/d/research/results/64090/ |
URI: | https://epub.wu.ac.at/id/eprint/4114 |
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