Testing the predictive power of various exchange rate models in forecasting the volatility of exchange

dc.contributor.authorObeng, Prince
dc.contributor.authorUniversity of Lethbridge. Faculty of Arts and Science
dc.contributor.supervisorTran, Kien
dc.contributor.supervisorRockerbie, Duane
dc.date.accessioned2016-09-23T20:26:13Z
dc.date.available2016-09-23T20:26:13Z
dc.date.issued2016
dc.degree.levelMastersen_US
dc.description.abstractThis Thesis tests the predictive power of ARCH, GARCH and EGARCH models in forecasting exchange rate volatility of Canadian dollar, Euro, British Pound, Swiss Franc and Japanese Yen using the US dollar as the base currency. We investigate both in-sample and out-of-sample performance of the volatility models using loss functions. The study further examines if the best model for the in-sample forecast will emerge as the best model for the out-of-sample forecast. The study finds that the GARCH(1,1) model outperforms all the other volatility models during the in-sample period. However in terms of the out-of-sample performance of the volatility models, the results are inconclusive, even though the ARCH model performed better most of the time than the complex models. The study concludes that the simple models should be given special consideration in terms of forecasting. Our results are robust to research on exchange rate volatility forecasting.en_US
dc.embargoNoen_US
dc.identifier.urihttps://hdl.handle.net/10133/4611
dc.language.isoen_CAen_US
dc.proquest.subject0501en_US
dc.proquest.subject0508en_US
dc.proquestyesYesen_US
dc.publisherLethbridge, Alta : University of Lethbridge, Dept. of Economicsen_US
dc.publisher.departmentDepartment of Economicsen_US
dc.publisher.facultyArts and Scienceen_US
dc.relation.ispartofseriesThesis (University of Lethbridge. Faculty of Arts and Science)en_US
dc.subjectexchange rateen_US
dc.subjectin-sample performanceen_US
dc.subjectout-of-sample performanceen_US
dc.subjectvolatility forecastingen_US
dc.subjectvolatility modelsen_US
dc.titleTesting the predictive power of various exchange rate models in forecasting the volatility of exchangeen_US
dc.typeThesisen_US
Files
Original bundle
Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
OBENG_PRINCE_MA_2016.pdf
Size:
614.3 KB
Format:
Adobe Portable Document Format
Description:
License bundle
Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
license.txt
Size:
3.13 KB
Format:
Item-specific license agreed upon to submission
Description: