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General to Specific Modelling of Exchange Rate Volatility: a Forecast Evaluation

Luc Bauwens () and Genaro Sucarrat

No 2006013, Discussion Papers (ECON - Département des Sciences Economiques) from Université catholique de Louvain, Département des Sciences Economiques

Abstract: 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 proposes 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)
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-fmk, nep-for and nep-ifn
Date: 2006-02-01
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http://sites.uclouvain.be/econ/DP/IRES/2006-13.pdf (application/pdf)

Related works:
Journal Article: General-to-specific modelling of exchange rate volatility: A forecast evaluation (2010) Downloads
Working Paper: General-to-specific modelling of exchange rate volatility: a forecast evaluation (2010) Downloads
Working Paper: General to specific modelling of exchange rate volatility: a forecast evaluation (2008) Downloads
Working Paper: General to specific modelling of exchange rate volatility: a forecast evaluation (2006) Downloads
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