Forecasting volatility in developing countries’ nominal exchange returns

Nikolaos Antonakakis, J. Darby

Research output: Contribution to journalArticlepeer-review

Abstract

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
Volume23
Issue number21
Early online date15 Oct 2013
DOIs
Publication statusPublished - 2013

Keywords

  • C32
  • F31
  • G15

Fingerprint

Dive into the research topics of 'Forecasting volatility in developing countries’ nominal exchange returns'. Together they form a unique fingerprint.

Cite this