Economics at your fingertips  

A Double-Threshold GARCH Model for the French Franc/Deutschmark Exchange Rate

Chris Brooks

Journal of Forecasting, 2001, vol. 20, issue 2, 135-43

Abstract: This paper combines and generalizes a number of recent time series models of daily exchange rate series by using a SETAR model which also allows the variance equation of a GARCH specification for the error terms to be drawn from more than one regime. An application of the model to the French Franc/Deutschmark exchange rate demonstrates that out-of-sample forecasts for the exchange rate volatility are also improved when the restriction that the data it is drawn from a single regime is removed. This result highlights the importance of considering both types of regime shift (i.e. thresholds in variance as well as in mean) when analysing financial time series. Copyright © 2001 by John Wiley & Sons, Ltd.

Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (33) Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:

Access Statistics for this article

Journal of Forecasting is currently edited by Derek W. Bunn

More articles in Journal of Forecasting from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing ().

Page updated 2019-07-25
Handle: RePEc:jof:jforec:v:20:y:2001:i:2:p:135-43