DMCA
General to Specific Modelling of Exchange Rate Volatility: A Forecast Evaluation (2006)
Cached
Download Links
| Citations: | 12 - 8 self |
BibTeX
@MISC{Bauwens06generalto,
author = {Luc Bauwens and Genaro Sucarrat},
title = { General to Specific Modelling of Exchange Rate Volatility: A Forecast Evaluation},
year = {2006}
}
Share
 |
 |
 |
 |
||
OpenURL
Abstract
The general-to-specific (GETS) approach to modelling is widely employed in the modelling of economic series, but less so in financial volatility modelling due to computational complexity when many explanatory variables are involved. This study proposes a simple way of avoiding this problem and undertakes an out-of-sample forecast evaluation of the methodology applied to the modelling of weekly exchange rate volatility. Our findings suggest that GETS specifications are especially valuable in conditional forecasting, since the specification that employs actual values on the uncertain information performs particularly well.
Keyphrases
forecast evaluation exchange rate volatility specific modelling economic series computational complexity weekly exchange rate volatility financial volatility out-of-sample forecast evaluation get specification actual value many explanatory variable simple way conditional forecasting uncertain information performs
