General to specific modelling of exchange rate volatility: a forecast evaluation
Luc Bauwens () and
No 2006021, CORE Discussion Papers from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
The general-to-speciﬁc (GETS) approach to modelling is widely employed in the modelling of economic series, but less so in ﬁnancial volatility modelling due to computational complexity when many explanatory variables are involved. This study proposed a simple way of avoiding this problem and undertakes an out-of-sample forecast evaluation of the methodology applied to the modelling of weekly exchange rate volatility. Our ﬁndings suggest that GETS speciﬁcations are especially valuable in conditional forecasting, since the speciﬁcation that employs actual values on the uncertain information performs particularly well
Keywords: exchange rate volatility; general to speciﬁc; forecasting (search for similar items in EconPapers)
JEL-codes: C53 F31 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (6) Track citations by RSS feed
Downloads: (external link)
Our link check indicates that this URL is bad, the error code is: 404 Not Found
Journal Article: General-to-specific modelling of exchange rate volatility: A forecast evaluation (2010)
Working Paper: General-to-specific modelling of exchange rate volatility: a forecast evaluation (2010)
Working Paper: General to specific modelling of exchange rate volatility: a forecast evaluation (2008)
Working Paper: General to Specific Modelling of Exchange Rate Volatility: a Forecast Evaluation (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2006021
Access Statistics for this paper
More papers in CORE Discussion Papers from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Alain GILLIS ().