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Doviz Kuru Getiri Volatilitesinin Kosullu Degisen Varyans Modelleri ile Ongorusu

Author

Listed:
  • Ebru Caglayan

    () (Marmara University)

  • Tugba Dayioglu

    (Marmara University)

Abstract

This paper compares the forecasting performance of symmetric and asymmetric conditional volatility models of exchange rate returns of OECD countries. The results show that the forecasting performances of asymmetric conditional models are better than symmetric conditional models for most of the countries. We found that the distribution of exchange rate returns are characterized by excess kurtosis and fat tails. We also found some evidence of out-of sample forecasting that the volatility of returns will be impacted differently (increase or decrease) while the returns increasing for each country.

Suggested Citation

  • Ebru Caglayan & Tugba Dayioglu, 2009. "Doviz Kuru Getiri Volatilitesinin Kosullu Degisen Varyans Modelleri ile Ongorusu," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 9(1), pages 1-16, May.
  • Handle: RePEc:ist:ancoec:v:9:y:2009:i:1:p:1-16
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    More about this item

    Keywords

    Exchange rate volatility; GARCH; Forecasting;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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