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Article: Forecasting exchange rate volatility using autoregressive random variance model

TitleForecasting exchange rate volatility using autoregressive random variance model
Authors
Issue Date1999
PublisherRoutledge. The Journal's web site is located at http://www.tandf.co.uk/journals/routledge/09603107.html
Citation
Applied Financial Economics, 1999, v. 9 n. 6, p. 583-591 How to Cite?
AbstractRecently, as an alternative to the GARCH model, the autoregressive random variance (ARV) model has been gaining popularity in the modelling of changing volatility, mainly because of the capability in capturing the stochastic nature of volatility. This article highlights the ARV model as an alternative to the GARCH model in modelling volatility. The main focus is to compare the two models in forecasting exchange rate volatility. Although the two approaches generally give close forecasting performance, the ARV method provides a notable improvement in Canadian/ Dollar and Australian/Dollar. The outstanding performance seems to be related to the 'volatility of volatility', i.e. the volatility changes from day to day.
Persistent Identifierhttp://hdl.handle.net/10722/82754
ISSN
2015 SCImago Journal Rankings: 0.244
References

 

DC FieldValueLanguage
dc.contributor.authorSo, MKPen_HK
dc.contributor.authorLam, Ken_HK
dc.contributor.authorLi, WKen_HK
dc.date.accessioned2010-09-06T08:33:02Z-
dc.date.available2010-09-06T08:33:02Z-
dc.date.issued1999en_HK
dc.identifier.citationApplied Financial Economics, 1999, v. 9 n. 6, p. 583-591en_HK
dc.identifier.issn0960-3107en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82754-
dc.description.abstractRecently, as an alternative to the GARCH model, the autoregressive random variance (ARV) model has been gaining popularity in the modelling of changing volatility, mainly because of the capability in capturing the stochastic nature of volatility. This article highlights the ARV model as an alternative to the GARCH model in modelling volatility. The main focus is to compare the two models in forecasting exchange rate volatility. Although the two approaches generally give close forecasting performance, the ARV method provides a notable improvement in Canadian/ Dollar and Australian/Dollar. The outstanding performance seems to be related to the 'volatility of volatility', i.e. the volatility changes from day to day.en_HK
dc.languageengen_HK
dc.publisherRoutledge. The Journal's web site is located at http://www.tandf.co.uk/journals/routledge/09603107.htmlen_HK
dc.relation.ispartofApplied Financial Economicsen_HK
dc.titleForecasting exchange rate volatility using autoregressive random variance modelen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0960-3107&volume=9&spage=583&epage=591&date=1999&atitle=Forecasting+exchange+rate+volatility+using+autoregressive+random+variance+modelen_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.scopuseid_2-s2.0-0010024325en_HK
dc.identifier.hkuros47459en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0010024325&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume9en_HK
dc.identifier.issue6en_HK
dc.identifier.spage583en_HK
dc.identifier.epage591en_HK
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridSo, MKP=7004473851en_HK
dc.identifier.scopusauthoridLam, K=36492945700en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK

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