The Predictive Ability of Several Models of Exchange Rate Volatility
收藏NBER1994-01-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/t0152
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
1994-01-01
