The Predictive Ability of Several Models of Exchange Rate Volatility

Kenneth West () and Dongchul Cho

No 152, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and nonparametric models for conditional variances, using five bilateral weekly exchange rates for the dollar, 1973-1989. For a one week horizon, GARCH models tend to make slightly more accurate forecasts. For longer horizons, it is difficult to find grounds for choosing between the various models. None of the models perform well in a conventional test of forecast efficiency.

JEL-codes: C52 C53 (search for similar items in EconPapers)
Date: 1994-01
Note: AP IFM
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Citations: View citations in EconPapers (9)

Published as Journal of Econometrics, vol. 69, (1995), pp. 367-391.

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Related works:
Journal Article: The predictive ability of several models of exchange rate volatility (1995)
Working Paper: The Predictive Ability of Several Models of Exchange Rate Volatility (1993)
Working Paper: The Predictive Ability of Several Models of Exchange Rate Volatility (1993)
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