The Predictive Ability of Several Models of Exchange Rate Volatility
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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
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美国国家经济研究局创建时间：
1994-01-01
