EconPapers    
Economics at your fingertips  
 

Models for forecasting exchange rate volatility: a comparison between developed and emerging countries

Marcelo de Carvalho Griebeler

Economics Bulletin, 2014, vol. 34, issue 3, 1618-1630

Abstract: The main objective of this paper is to test the hypothesis that emerging markets are more sensitive to negative shocks than positive ones, and also that developed ones do not exhibit this same pattern. Using the family of ARCH models, the conditional variances of exchange rates in Brazil, Mexico and Singapore, representing the emerging countries, and the Euro Zone, UK and Japan, representing the developed ones, are estimated and forecasted. The results indicate that there is no relationship between the country being either developed or emerging, and its best fit is given by a model symmetrical or asymmetrical.

Keywords: Exchange Rate; Volatility; Nonlinear GARCH models (search for similar items in EconPapers)
JEL-codes: C5 F3 (search for similar items in EconPapers)
Date: 2014-07-26
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2014/Volume34/EB-14-V34-I3-P146.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-14-00176

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().

 
Page updated 2025-03-19
Handle: RePEc:ebl:ecbull:eb-14-00176