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Models for forecasting exchange rate volatility: a comparison between developed and emerging countries

Author

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  • Marcelo Griebeler

    (Santa Catarina State University)

Abstract

The main objective of this paper is to test the hypothesis that emerging markets are more sensitive to negative shocks than positive ones, and also that developed ones do not exhibit this same pattern. Using the family of ARCH models, the conditional variances of exchange rates in Brazil, Mexico and Singapore, representing the emerging countries, and the Euro Zone, UK and Japan, representing the developed ones, are estimated and forecasted. The results indicate that there is no relationship between the country being either developed or emerging, and its best fit is given by a model symmetrical or asymmetrical.

Suggested Citation

  • Marcelo Griebeler, 2014. "Models for forecasting exchange rate volatility: a comparison between developed and emerging countries," Economics Bulletin, AccessEcon, vol. 34(3), pages 1618-1630.
    • Handle: RePEc:ebl:ecbull:eb-14-00176
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2014/Volume34/EB-14-V34-I3-P146.pdf
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    References listed on IDEAS

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    1. Michael Pippenger & Gregory Goering, 1998. "Exchange Rate Forecasting: Results from a Threshold Autoregressive Model," Open Economies Review, Springer, vol. 9(2), pages 157-170, April.
    2. Mishkin, Frederic S, 1992. "Anatomy of a Financial Crisis," Journal of Evolutionary Economics, Springer, vol. 2(2), pages 115-130, August.
    3. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
    4. Tambakis, Demosthenes N & Van Royen, Anne-Sophie, 2002. "Conditional Predictability of Daily Exchange Rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(5), pages 301-315, August.
    5. Rohan Longmore & Wayne Robinson, 2005. "Modelling and Forecasting Exchange Rate Dynamics in Jamaica: an Application of Asymmetric Volatility Models," Money Affairs, CEMLA, vol. 0(1), pages 23-56, January-J.
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    Cited by:

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    2. Ngo Thai Hung, 2021. "Volatility Behaviour of the Foreign Exchange Rate and Transmission Among Central and Eastern European Countries: Evidence from the EGARCH Model," Global Business Review, International Management Institute, vol. 22(1), pages 36-56, February.
    3. Luo, Jiawen & Marfatia, Hardik A. & Ji, Qiang & Klein, Tony, 2023. "Co-volatility and asymmetric transmission of risks between the global oil and China's futures markets," Energy Economics, Elsevier, vol. 117(C).

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    More about this item

    Keywords

    Exchange Rate; Volatility; Nonlinear GARCH models;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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