NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

The Predictive Ability of Several Models of Exchange Rate Volatility

Kenneth D. West, Dongchul Cho

NBER Technical Working Paper No. 152
Issued in January 1994
NBER Program(s):   AP   IFM

We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and nonparametric models for conditional variances, using five bilateral weekly exchange rates for the dollar, 1973-1989. For a one week horizon, GARCH models tend to make slightly more accurate forecasts. For longer horizons, it is difficult to find grounds for choosing between the various models. None of the models perform well in a conventional test of forecast efficiency.

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Document Object Identifier (DOI): 10.3386/t0152

Published: Journal of Econometrics, vol. 69, (1995), pp. 367-391.

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