Forecasting Volatility in Developing Countries' Nominal Exchange Returns

Nikolaos Antonakakis and Julia Darby

MPRA Paper from University Library of Munich, Germany

Abstract: This paper identifies the best models for forecasting the volatility of daily exchange returns of developing countries. An emerging consensus in the recent literature focusing on industrialised counties has noted the superior performance of the FIGARCH model in the case of industrialised 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; estimation; forecasting; developing countries (search for similar items in EconPapers)
JEL-codes: C32 E58 F31 G15 (search for similar items in EconPapers)
Date: 2012-08-26
New Economics Papers: this item is included in nep-for
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:40875

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