Forecasting exchange rate volatility using conditional variance models selected by information criteria

DOI10.1016/S0165-1765(98)00178-5zbMath0913.90069WikidataQ58168613 ScholiaQ58168613MaRDI QIDQ1274416

Chris Brooks, Simon P. Burke

Publication date: 12 January 1999

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

GARCHforecastingexchange ratesvolatilityinformation criteria

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (4)

Hierarchical forecasting based on AR-GARCH model in a coherent structure ⋮ Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate ⋮ GARCH model selection criteria ⋮ A comparison of alternative techniques for selecting an optimum ARCH model

Cites Work

• Unnamed Item
• ARCH modeling in finance. A review of the theory and empirical evidence
• Estimating the dimension of a model
• Generalized autoregressive conditional heteroscedasticity
• Information criteria for selecting possibly misspecified parametric models

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