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

Balaban, Ercan, Forecasting Exchange Rate Volatility. Available at SSRN: https://ssrn.com/abstract=494482 or http://dx.doi.org/10.2139/ssrn.494482

Ercan Balaban

University of Aberdeen ( email )

Dunbar Street
Aberdeen, Scotland AB24 3QY
United Kingdom