Artikel

Score-driven currency exchange rate seasonality as applied to the Guatemalan Quetzal/US Dollar

In this paper we introduce new Dynamic Conditional Score (DCS) models for the Skew-Gen-t (Skewed Generalized t) and NIG (Normal-Inverse Gaussian) distributions as alternatives to the recent DCS models for the Student's-t and EGB2 (Exponential Generalized Beta of the second kind) distributions, respectively. The DCS models we propose include stochastic local level, stochastic seasonality, and irregular components with DCS-EGARCH (Exponential Generalized Autoregressive Conditional Heteroscedasticity) volatility dynamics. DCS models are robust to extreme observations, whereas standard financial time series models are not. We use data from the Guatemalan Quetzal (GTQ) to United States Dollar (USD) exchange rate for the period of 4th January 1994-30th June 2017. This dataset exhibits significant rises and falls in the GTQ/USD that lead to extreme observations, stochastic seasonality with dynamic amplitude, and volatility dynamics. These seasonality dynamics of the GTQ/USD are related to the Guatemalan trade-related currency movements, receipt and payment of foreign loans, and remittance payments of Guatemalans working abroad. We show that the in-sample statistical performance of the DCS-Skew-Gen-t and the DCS-NIG models is superior to that of the DCS-t and the DCS-EGB2 models, respectively. Furthermore, we show that the statistical performance of all DCS models is superior to that of the standard financial time series model.

Sprache
Englisch

Erschienen in
Journal: SERIEs - Journal of the Spanish Economic Association ; ISSN: 1869-4195 ; Volume: 10 ; Year: 2019 ; Issue: 1 ; Pages: 65-92

Klassifikation
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Evaluation, Validation, and Selection
Financial Econometrics
Foreign Exchange
Thema
Dynamic Conditional Score (DCS) models
Guatemalan Quetzal (GTQ) to United States Dollar (USD) exchange rate
Stochastic seasonality component

Ereignis
Geistige Schöpfung
(wer)
Ayala, Astrid
Blazsek, Szabolcs
Ereignis
Veröffentlichung
(wer)
Springer
(wo)
Heidelberg
(wann)
2019

DOI
doi:10.1007/s13209-018-0186-0
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

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Objekttyp

  • Artikel

Beteiligte

  • Ayala, Astrid
  • Blazsek, Szabolcs
  • Springer

Entstanden

  • 2019

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