Forecasting Exchange Rate Volatility
14 Pages Posted: 28 Jan 2004
Abstract
The relative out-of-sample forecasting quality of symmetric and asymmetric conditional volatility models of an exchange rate differs according to the symmetric and asymmetric evaluation criteria. Both symmetric and asymmetric forecast competitors of currency volatility are biased and systematically overpredict volatility.
Keywords: Heteroscedasticity, Symmetric/asymmetric volatility clustering, Forecasting, Exchange rates, Forecast evaluation
JEL Classification: C22, C53, F31
Suggested Citation: Suggested Citation
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