Download or read book Forecasting Exchange Rate Volatility written by Angelos Kanas and published by . This book was released on 1992 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Evidence on Forecasting Exchange Rate Volatility written by Natacha Nehme and published by . This book was released on 2017 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research limitations -- A limitation that could have biased the results is that the return of EUR/USD, JPY/USD, GBP/USD and CHF/USD exchange rates was calculated based on the daily exchange rate. In fact, using intra-day volatility measurement could have led to better results in forecasting exchange rate volatility. Moreover, other models could have been used that exhibit different characteristics than GARCH (1, 1), EGARCH, GJR GARCH and EWMA models such as the Autoregressive Integrated Moving Average (ARIMA), the Integrated in Variance (IGARCH) and the Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity (FIGARCH). In addition, other software could have replace EViews, such as Matlab. Practical implications -- The empirical results of this research have direct and fundamental implication on international investors and firms to better hedge currency risk. The findings will also assist policy makers in the international capital budgeting by understanding the pattern of exchange rates. Originality/value -- This study is an endeavor to fill the gap of previous literature by implementing the symmetric and asymmetric models to forecast the exchange rate volatility. In addition, it compares the performance of implied volatility to financial models, a topic that was ignored in previous researches. Moreover, no recent papers tackled the in-sample and out-of-sample EUR/USD, JPY/USD, GBP/USD and CHF/USD exchange rate volatility under a recent sample period and using this basket of models: GARCH (1, 1), EGARCH, GJR GARCH and EWMA. Therefore, the findings of this research will be used as a benchmark for investors, hedges, economists and financial institutions to accurately predict exchange rate volatility.
Download or read book Modelling and forecasting exchange rate volatility with ARCH type models written by Juergen Kaehler and published by . This book was released on 1991 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Exchange Rate Volatility in Emerging Economies written by Abdulkader M. ALJANDALI and published by Transnational Press London. This book was released on 2018-04-13 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a contribution to the knowledge concerning the volatility and forecasting of exchange rates in the emerging markets. It focuses on the exchange rates of the leading trading blocs in that part of the world and examines exchange rates of selected emerging countries across continents in order to explain local and regional variations in exchange rates and the determinants of fluctuations in selected countries in Africa, Asia, Central and Latin America. Exchange rates of countries from the four different regions are investigated separately, followed by analysis within and across regions to identify common patterns of exchange rates fluctuations. Monthly forecasts are generated for a period of 24 months to test the performance of the times series, cointegration and combination techniques used in this book. The results show that exchange rates of countries in the same region behave similarly following a shock to the system. Additionally, exchange rates of countries at the same stage of development albeit in different geographical location (Central America, Southern Africa, Latin America and Southeast Asia) share some similarities. In this book, I argue that all exchange rates examined have been volatile. Contents PrefaceChapter I. IntroductionChapter II. Foreign Exchange Forecasting using Macroeconomic VariablesChapter III. Empirical Methods and ApplicationsChapter IV. Times Series ForecastingChapter V. ARDL Cointegration ForecastingChapter VI Combination Forecasting of Exchange RatesChapter VII Conclusions, Summary and Recommendations for Policy MakersAppendix 1 Exchange rate plots over time
Download or read book Foreign Exchange Rate Forecasting with Artificial Neural Networks written by Lean Yu and published by Springer Science & Business Media. This book was released on 2010-02-26 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on forecasting foreign exchange rates via artificial neural networks (ANNs), creating and applying the highly useful computational techniques of Artificial Neural Networks (ANNs) to foreign-exchange rate forecasting. The result is an up-to-date review of the most recent research developments in forecasting foreign exchange rates coupled with a highly useful methodological approach to predicting rate changes in foreign currency exchanges.
Download or read book Forecasting Exchange Rate Volatility written by Ercan Balaban and published by . This book was released on 2008 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Modeling and Forecasting Exchange Rate Volatility in Time frequency Domain written by and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the influence of different timescales on volatility forecasts. The decomposition of volatility into several timescales approximates the behaviour of traders at corresponding investment horizons. The proposed methodology is moreover able to account for impact of jumps due to a recently proposed jump wavelet two scale realized volatility estimator. We propose a realized Jump-GARCH models estimated in two versions using maximum likelihood as well as observation-driven estimation framework of generalized autoregressive score. We compare forecasts using several popular realized volatility measures on foreign exchange rate futures data covering the recent financial crisis. Our results indicate that disentangling jump variation from the integrated variation is important for forecasting performance. An interesting insight into the volatility process is also provided by its multiscale decomposition. We find that most of the information for future volatility comes from high frequency part of the spectra representing very short investment horizons. Our newly proposed models outperform statistically the popular as well conventional models in both one-day and multi-period-ahead forecasting.
Download or read book Modeling and Forecasting Exchange Rate Volatility in Time Frequency Domain written by Jozef Baruník and published by . This book was released on 2015 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the influence of different timescales on volatility forecasts. The decomposition of volatility into several timescales approximates the behaviour of traders at corresponding investment horizons. The proposed methodology is moreover able to account for impact of jumps due to a recently proposed jump wavelet two scale realized volatility estimator. We propose a realized Jump-GARCH models estimated in two versions using maximum likelihood as well as observation-driven estimation framework of generalized autoregressive score. We compare forecasts using several popular realized volatility measures on foreign exchange rate futures data covering the recent financial crisis. Our results indicate that disentangling jump variation from the integrated variation is important for forecasting performance. An interesting insight into the volatility process is also provided by its multiscale decomposition. We find that most of the information for future volatility comes from high frequency part of the spectra representing very short investment horizons. Our newly proposed models outperform statistically the popular as well conventional models in both one-day and multi-period-ahead forecasting.
Download or read book Forecasting Exchange Rate Volatility written by Guillermo Benavides and published by . This book was released on 2009 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper shows that combinations of option implied and time series volatility forecasts that are conditional on current information are statistically superior to individual models, (unconditional) combinations, and hybrid forecasts. Hence, it finds empirical evidence that both, combining individual forecasts, and taking into account the conditional expected performance of each model given current information, are important to improve out-of-sample forecasting performance. The method used in this paper extends the application of conditional predictive ability tests to select forecast combinations. We show that this method works well in practice by applying it to volatility forecasts for the Mexican Peso-US Dollar exchange rate, where the actual value is taken to be the realized volatility measured using intra-day observations.
Download or read book Exchange Rate Forecasting Techniques Survey Data and Implications for the Foreign Exchange Market written by International Monetary Fund and published by International Monetary Fund. This book was released on 1990-05-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the dynamics of the foreign exchange market. The first half addresses a number of key questions regarding the forecasts of future exchange rates made by market participants, by means of updated estimates using survey data. Here we follow most of the theoretical and empirical literature in acting as if all market participants share the same expectation. The second half then addresses the possibility of heterogeneous expectations, particularly the distinction between “chartists” and “fundamentalists,” and the implications for trading in the foreign exchange market and for the formation of speculative bubbles.
Download or read book Modelling and Forecasting Exchange rate Volatility with ARCH type Models written by J. Kaehler and published by . This book was released on 1991 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Forecasting Exchange Rate Volatility in the Presence of Jumps written by and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Forecasting Exchange Rate Volatility Using Conditional Variance Models Selected by Information Criteria written by Chris Brooks and published by . This book was released on 1998 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Excess Volatility and the Asset Pricing Exchange Rate Model with Unobservable Fundamentals written by Mr.Lorenzo Giorgianni and published by International Monetary Fund. This book was released on 1999-05-01 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a method to test the volatility predictions of the textbook asset-pricing exchange rate model, which imposes minimal structure on the data and does not commit to a choice of exchange rate “fundamentals.” Our method builds on existing tests of excess volatility in asset prices, combining them with a procedure that extracts unobservable fundamentals from survey-based exchange rate expectations. We apply our method to data for the three major exchange rates since 1984 and find broad evidence of excess exchange rate volatility with respect to the predictions of the canonical asset-pricing model in an efficient market.
Download or read book Forecasting Exchange Rate Volatility in the Presence of Jumps written by Bent J. Christensen and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Forecasting Exchange Rate Volatility Central Bank Interventions and Purchasing Power Parity written by Ying Jiang and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Are Option implied Forecasts of Exchange Rate Volatility Excessively Variable written by Shang-Jin Wei and published by . This book was released on 1991 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market participants' forecasts of future exchange rate volatility can be recovered from option contracts on foreign currencies. Such implicit volatility forecasts for four currencies are used to test rational expectations jointly with the applicability of the standard Black-Scholes formula. First, we examine the null hypothesis that the market-anticipated one-month-ahead standard deviation is an unbiased estimator of the subsequent realized standard deviation. The parametric regression method rejects this hypothesis overwhelmingly: the implicit forecasts are themselves excessively variable. Simulations indicate that the rejection is not caused by non-normality of the error term. Second, we use a nonparametric method to test a weaker version of market rationality: the market can correctly forecast the direction of the change in exchange rate volatility. This time, the weaker version of rationality is confirmed- Third, we investigate how market forecasts are formed. We find some evidence that market participants put heavy weight on lagged volatility when forecasting future volatility. Finally, results from the Alternating Conditional Expectations algorithm provide further support for the central finding that when the market predicts a large deviation of volatility from its mean, it could do better by moderating its forecast.
