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Doviz Kuru Getiri Volatilitesinin Kosullu Degisen Varyans Modelleri ile Ongorusu

Ebru Caglayan () and Tugba Dayioglu
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Ebru Caglayan: Marmara University
Tugba Dayioglu: Marmara University

Istanbul University Econometrics and Statistics e-Journal, 2009, vol. 9, issue 1, 1-16

Abstract: This paper compares the forecasting performance of symmetric and asymmetric conditional volatility models of exchange rate returns of OECD countries. The results show that the forecasting performances of asymmetric conditional models are better than symmetric conditional models for most of the countries. We found that the distribution of exchange rate returns are characterized by excess kurtosis and fat tails. We also found some evidence of out-of sample forecasting that the volatility of returns will be impacted differently (increase or decrease) while the returns increasing for each country.

Keywords: Exchange rate volatility; GARCH; Forecasting (search for similar items in EconPapers)
JEL-codes: C22 C53 (search for similar items in EconPapers)
Date: 2009
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