Forecasting volatility in developing countries’ nominal exchange returns

Nikolaos Antonakakis, J. Darby

    Research output: Contribution to journalArticlepeer-review


    This paper identifies the best models for forecasting the volatility of daily exchange returns of developing countries. An emerging consensus in the recent literature focusing on industrialised counties has noted the superior performance of the FIGARCH model in the case of industrialised countries, a result that is reaffirmed here. However, we show that when dealing with developing countries’ data the IGARCH model results in substantial gains in terms of the in-sample results and out-of-sample forecasting performance.
    Original languageEnglish
    Pages (from-to)1675-1691
    JournalApplied Financial Economics
    Issue number21
    Early online date15 Oct 2013
    Publication statusPublished - 2013


    • C32
    • F31
    • G15


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