Artikel

Empirical model for forecasting exchange rate dynamics: The GO-GARCH approach

The study aimed at determining a set of superior generalized orthogonal-GARCH (GO-GARCH) models for forecasting time-varying conditional correlations and variances of five foreign exchange rates vis-à-vis the Nigerian Naira. Daily data covering the period 02/01/2009 to 19/03/2015 was used, and four estimators of the GO-GARCH model were considered for fitting the models. Forecast performance tests were conducted using the Diebold-Mariano (DM) and the model confidence set (MCS) tests procedures. The DM test indicates preference for the GO-GARCH model estimated with nonlinear least squares (NLS) estimator - denoted as GOGARCH-NLS, while the MCS test determined a set of superior models (SSM) which comprised of GO-GARCH-NLS and GOGARH model estimated by the method-of-moment, denoted as GO-GARCH-MM. These models were deemed best and adequate for forecasting of the five exchange rate dynamics.

Language: Englisch

Bibliographic citation: Journal: CBN Journal of Applied Statistics ; ISSN: 2476-8472 ; Volume: 07 ; Year: 2016 ; Issue: 1 ; Pages: 179-208 ; Abuja: The Central Bank of Nigeria

Classification: Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Forecasting Models; Simulation Methods
Foreign Exchange

Subject: MGARCH
GO-GARCH
conditional heteroscedasticity
volatility
time-varying correlation

Event: Geistige Schöpfung

(who): Isenah, Godknows M.
Olubusoye, Olusanya E.

Event: Veröffentlichung

(who): The Central Bank of Nigeria

(where): Abuja

(when): 2016

Handle: http://hdl.handle.net/10419/191680

Last update: 10.03.2025, 11:42 AM CET

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Artikel

Associated

Isenah, Godknows M.
Olubusoye, Olusanya E.
The Central Bank of Nigeria

Time of origin

2016

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Empirical model for forecasting exchange rate dynamics: The GO-GARCH approach

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