Forecasting volatility in developing countries’ nominal exchange returns

Nikolaos Antonakakis, Julia Darby

Research output: Contribution to journalArticle

5 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)1675-1691
Number of pages17
JournalApplied Financial Economics
Volume23
Issue number21
Early online date10 Oct 2013
DOIs
Publication statusPublished - 1 Nov 2013

Keywords

  • exchange rate volatility
  • developing countries
  • forecasting
  • estimation

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