Publicação

An empirical note about estimation and forecasting Latin American Forex returns volatility : the role of long memory and random level shifts components

Ver documento

Detalhes bibliográficos
Resumo:A set of RLS-type models with ARMA and ARFIMA dynamics is estimated and compared in a forecasting exercise with ARFIMA, GARCH and FIGARCH models. It is an extension of Rodríguez (N Am J Econ Financ 42:393–420, 2017) but using more countries and working with squared returns in the forecasting exercise. The estimation results show: (i) existence of RLS; (ii) measurement errors except in Chile and Colombia. Regarding the fractional parameter, the estimates are quite small indicating the possible absence of long memory with possible exceptions of Chile and Colombia. The forecast exercise using the 10% MCS of Hansen et al. (Econometrica 79:453–497, 2011) and the ratios of MSFE indicate absence of the RLS-ARFIMA models while RLS-ARMA models are selected. In general, the results of the estimations and forecasts indicate probable absence of long memory or its small magnitude, which would makes this characteristic not only unnecessary but also irrelevant to capture the variations of the low frequencies of the series.
Autores principais:Rodríguez, Gabriel
Outros Autores:Ojeda Cunya, Junior A.; Gonzáles Tanaka, José Carlos
Assunto:Random Level Shifts Long memory Latin American Forex Markets Volatility Time Varying Probability Mean reversion ARFIMA models GARCH model FIGARCH model
Ano:2019
País:Portugal
Tipo de documento:artigo
Tipo de acesso:acesso restrito
Instituição associada:Universidade de Lisboa
Idioma:inglês
Origem:Repositório da Universidade de Lisboa

Registos relacionados

Registos relacionados