Antonakakis, Nikolaos, Darby, Julia. 2013. Forecasting volatility in developing countries' nominal exchange returns. Applied Financial Economics 23 (21): 1675-1691.
BibTeX
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.
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Status of publication | Published |
---|---|
Affiliation | WU |
Type of publication | Journal article |
Journal | Applied Financial Economics |
Language | English |
Title | Forecasting volatility in developing countries' nominal exchange returns |
Volume | 23 |
Number | 21 |
Year | 2013 |
Page from | 1675 |
Page to | 1691 |
Reviewed? | Y |
URL | http://www.tandfonline.com/doi/full/10.1080/09603107.2013.844323#.UlPO7FMhxFI |
Associations
- People
- Antonakakis, Nikolaos (Former researcher)
- External
- Darby, Julia (University of Strathclyde, United Kingdom)
- Organization
- Department of Economics (Badinger) (Details)
- Department of Economics DP (Details)
- Research areas (Ă–STAT Classification 'Statistik Austria')
- 5300 Economics (Details)
- 5311 Public finance (Details)