Contents

The Predictive Ability of Several Models of Exchange Rate Volatility

Cho, Dong Chul / West, Kenneth D.

Abstract

We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive, and nonparametric models for conditional variances, using five bilateral weekly exchange rates for the dollar, 1973–1989. For a one-week horizon, GARCH models tend to make slightly more accurate forecasts. For longer horizons, it is difficult to find grounds for choosing between the various models. None of the models perform well in a conventional test of forecast efficiency.

Issue Date
1995-10
Publisher
ELSEVIER SCIENCE SA
Keywords
Conditional heteroskedasticity; ARCH; Exchange rate; Prediction; Forecasting
Citation
JOURNAL OF ECONOMETRICS, v.62, no.9, pp.367 - 391, 1995
DOI
10.1016/0304-4076(94)01654-I
Journal Title
JOURNAL OF ECONOMETRICS
Start Page
367
End Page
391
ISSN
0304-4076
Language
English
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