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.
LanguageEnglish
Pages1675-1691
Number of pages17
JournalApplied Financial Economics
Volume23
Issue number21
Early online date10 Oct 2013
DOIs
Publication statusPublished - 1 Nov 2013

Fingerprint

Developing countries
Forecasting volatility
Developed countries
Integrated
Forecasting performance
Out-of-sample forecasting

Keywords

  • exchange rate volatility
  • developing countries
  • forecasting
  • estimation

Cite this

@article{1e01c0adaea7418c8d15826d4627f4c6,
title = "Forecasting volatility in developing countries’ nominal exchange returns",
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.",
keywords = "exchange rate volatility, developing countries, forecasting, estimation",
author = "Nikolaos Antonakakis and Julia Darby",
year = "2013",
month = "11",
day = "1",
doi = "10.1080/09603107.2013.844323",
language = "English",
volume = "23",
pages = "1675--1691",
journal = "Applied Financial Economics",
issn = "0960-3107",
number = "21",

}

Forecasting volatility in developing countries’ nominal exchange returns. / Antonakakis, Nikolaos; Darby, Julia.

In: Applied Financial Economics, Vol. 23, No. 21, 01.11.2013, p. 1675-1691.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Forecasting volatility in developing countries’ nominal exchange returns

AU - Antonakakis, Nikolaos

AU - Darby, Julia

PY - 2013/11/1

Y1 - 2013/11/1

N2 - 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.

AB - 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.

KW - exchange rate volatility

KW - developing countries

KW - forecasting

KW - estimation

UR - http://www.scopus.com/inward/record.url?scp=84886900236&partnerID=8YFLogxK

U2 - 10.1080/09603107.2013.844323

DO - 10.1080/09603107.2013.844323

M3 - Article

VL - 23

SP - 1675

EP - 1691

JO - Applied Financial Economics

T2 - Applied Financial Economics

JF - Applied Financial Economics

SN - 0960-3107

IS - 21

ER -