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General to specific modelling of exchange rate volatility: a forecast evaluation

  • BAUWENS, Luc
  • SUCARRAT, Genaro

The general-to-speciï¬c (GETS) approach to modelling is widely employed in the modelling of economic series, but less so in ï¬nancial volatility modelling due to computational complexity when many explanatory variables are involved. This study proposed a simple way of avoiding this problem and undertakes an out-of-sample forecast evaluation of the methodology applied to the modelling of weekly exchange rate volatility. Our ï¬ndings suggest that GETS speciï¬cations are especially valuable in conditional forecasting, since the speciï¬cation that employs actual values on the uncertain information performs particularly well

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Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 2006021.

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Date of creation: 00 Mar 2006
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Handle: RePEc:cor:louvco:2006021
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