Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate

被引：24
|
作者：
Balaban, E
机构：
[1] Univ Edinburgh, Management Sch & Econ, Edinburgh EH8 9JY, Midlothian, Scotland
[2] Univ Frankfurt, Fac Econ & Business Adm, D-60325 Frankfurt, Germany
来源：
ECONOMICS LETTERS | 2004年 / 83卷 / 01期
关键词：
heteroscedasticity; symmetric/asymmetric volatility clustering; forecasting; exchange rates; forecast evaluation;
D O I：
10.1016/j.econlet.2003.09.028
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The relative out-of-sample forecasting quality of symmetric and asymmetric conditional volatility models of an exchange rate differs according to the symmetric and asymmetric evaluation criteria. Both symmetric and asymmetric forecast competitors of currency volatility are biased and systematically over-predict volatility. (C) 2004 Elsevier B.V. All rights reserved.
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页码：99 / 105
页数：7
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