Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate [An article from: Economics Letters]

by E. Balaban

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This digital document is a journal article from Economics Letters, published by Elsevier in 2004. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
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.

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