Download or read book Predicting Exchange Rates Volatilities with ARCH Models written by Paulina Marco and published by . This book was released on 1997 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Modeling of Exchange Rate Dynamics written by Francis X. Diebold and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 153 pages. Available in PDF, EPUB and Kindle. Book excerpt: Structural exchange rate modeling has proven extremely difficult during the recent post-1973 float. The disappointment climaxed with the papers of Meese and Rogoff (1983a, 1983b), who showed that a "naive" random walk model distinctly dominated received theoretical models in terms of predictive performance for the major dollar spot rates. One purpose of this monograph is to seek the reasons for this failure by exploring the temporal behavior of seven major dollar exchange rates using nonstructural time-series methods. The Meese-Rogoff finding does not mean that exchange rates evolve as random walks; rather it simply means that the random walk is a better stochastic approximation than any of their other candidate models. In this monograph, we use optimal model specification techniques, including formal unit root tests which allow for trend, and find that all of the exchange rates studied do in fact evolve as random walks or random walks with drift (to a very close approximation). This result is consistent with efficient asset markets, and provides an explanation for the Meese-Rogoff results. Far more subtle forces are at work, however, which lead to interesting econometric problems and have implications for the measurement of exchange rate volatility and moment structure. It is shown that all exchange rates display substantial conditional heteroskedasticity. A particularly reasonable parameterization of this conditional heteroskedasticity, which captures the observed clustering of prediction error variances, is developed in Chapter 2.
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 Handbook of Research on Emerging Theories Models and Applications of Financial Econometrics written by Burcu Adıgüzel Mercangöz and published by Springer Nature. This book was released on 2021-02-17 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook presents emerging research exploring the theoretical and practical aspects of econometric techniques for the financial sector and their applications in economics. By doing so, it offers invaluable tools for predicting and weighing the risks of multiple investments by incorporating data analysis. Throughout the book the authors address a broad range of topics such as predictive analysis, monetary policy, economic growth, systemic risk and investment behavior. This book is a must-read for researchers, scholars and practitioners in the field of economics who are interested in a better understanding of current research on the application of econometric methods to financial sector data.
Download or read book Testing the Predictive Power of Various Exchange Rate Models in Forecasting the Volatility of Exchange written by Prince Obeng and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This Thesis tests the predictive power of ARCH, GARCH and EGARCH models in forecasting exchange rate volatility of Canadian dollar, Euro, British Pound, Swiss Franc and Japanese Yen using the US dollar as the base currency. We investigate both in-sample and out-of-sample performance of the volatility models using loss functions. The study further examines if the best model for the in-sample forecast will emerge as the best model for the out-of-sample forecast. The study finds that the GARCH(1,1) model outperforms all the other volatility models during the in-sample period. However in terms of the out-of-sample performance of the volatility models, the results are inconclusive, even though the ARCH model performed better most of the time than the complex models. The study concludes that the simple models should be given special consideration in terms of forecasting. Our results are robust to research on exchange rate volatility forecasting.
Download or read book A Practical Guide to Forecasting Financial Market Volatility written by Ser-Huang Poon and published by John Wiley & Sons. This book was released on 2005-08-19 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications.
Download or read book Forecast the Volatility of Exchange Rate Using ARCH GARCH Models written by Runyun He and published by . This book was released on 2003 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Forecasting Volatility in the Financial Markets written by John Knight and published by Butterworth-Heinemann. This book was released on 1998 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: An aid to understanding the significance of volatility in the financial market, this text details modelling/forecasting techniques and uses a technical survey to define the models of volatility and return and explain the ways to measure risk. Applications in the financial markets are then detailed.
Download or read book ARCH Models for Financial Applications written by Evdokia Xekalaki and published by John Wiley & Sons. This book was released on 2010-03-18 with total page 558 pages. Available in PDF, EPUB and Kindle. Book excerpt: Autoregressive Conditional Heteroskedastic (ARCH) processes are used in finance to model asset price volatility over time. This book introduces both the theory and applications of ARCH models and provides the basic theoretical and empirical background, before proceeding to more advanced issues and applications. The Authors provide coverage of the recent developments in ARCH modelling which can be implemented using econometric software, model construction, fitting and forecasting and model evaluation and selection. Key Features: Presents a comprehensive overview of both the theory and the practical applications of ARCH, an increasingly popular financial modelling technique. Assumes no prior knowledge of ARCH models; the basics such as model construction are introduced, before proceeding to more complex applications such as value-at-risk, option pricing and model evaluation. Uses empirical examples to demonstrate how the recent developments in ARCH can be implemented. Provides step-by-step instructive examples, using econometric software, such as Econometric Views and the G@RCH module for the Ox software package, used in Estimating and Forecasting ARCH Models. Accompanied by a CD-ROM containing links to the software as well as the datasets used in the examples. Aimed at readers wishing to gain an aptitude in the applications of financial econometric modelling with a focus on practical implementation, via applications to real data and via examples worked with econometrics packages.
Download or read book The Dynamics of Exchange Rate Volatility written by Francis X. Diebold and published by . This book was released on 1986 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 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 Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility written by Christian Hafner and published by Springer Science & Business Media. This book was released on 2013-11-27 with total page 235 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book deals with the econometric analysis of high frequency financial time series. It emphasizes a new nonparametric approach to volatility models and provides theoretical and empirical comparisons with conventional ARCH models, applied to foreign exchange rates. Nonparametric models are discussed that cope with asymmetry and long memory of volatility as well as heterogeneity of higher conditional moments.
Download or read book Forecasting Volatility in the Financial Markets written by Stephen Satchell and published by Elsevier. This book was released on 2011-02-24 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting Volatility in the Financial Markets, Third Edition assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a survey of ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen Satchell have brought together an impressive array of contributors who present research from their area of specialization related to volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection of up-to-date chapters on the latest techniques in forecasting volatility. Chapters new to this third edition:* What good is a volatility model? Engle and Patton* Applications for portfolio variety Dan diBartolomeo* A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices Rob Cornish* Volatility modeling and forecasting in finance Xiao and Aydemir* An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility Thomas A. Silvey Leading thinkers present newest research on volatility forecasting International authors cover a broad array of subjects related to volatility forecasting Assumes basic knowledge of volatility, financial mathematics, and modelling
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 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 Advances in Markov Switching Models written by James D. Hamilton and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 267 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. The individual contributions cover new advances in Markov-switching models with applications to business cycle research and finance. The introduction surveys the existing methods and new results of the last decade. Individual chapters study features of the U. S. and European business cycles with particular focus on the role of monetary policy, oil shocks and co movements among key variables. The short-run versus long-run consequences of an economic recession are also discussed. Another area that is featured is an extensive analysis of currency crises and the possibility of bubbles or fads in stock prices. A concluding chapter offers useful new results on testing for this kind of regime-switching behaviour. Overall, the book provides a state-of-the-art over view of new directions in methods and results for estimation and inference based on the use of Markov-switching time-series analysis. A special feature of the book is that it includes an illustration of a wide range of applications based on a common methodology. It is expected that the theme of the book will be of particular interest to the macroeconomics readers as well as econometrics professionals, scholars and graduate students. We wish to express our gratitude to the authors for their strong contributions and the reviewers for their assistance and careful attention to detail in their reports.
