Quotation Antonakakis, Nikolaos, Darby, Julia. 2013. Forecasting volatility in developing countries' nominal exchange returns. Applied Financial Economics 23 (21): 1675-1691.


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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.

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Publication's profile

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)
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