TY  - JOUR
AU  - West,Kenneth D.
AU  - Cho,Dongchul
TI  - The Predictive Ability of Several Models of Exchange Rate Volatility
JF  - National Bureau of Economic Research Technical Working Paper Series
VL  - No. 152
PY  - 1994
Y2  - January 1994
UR  - http://www.nber.org/papers/t0152
L1  - http://www.nber.org/papers/t0152.pdf
N1  - Author contact info:
Kenneth D. West
Department of Economics
University of Wisconsin
1180 Observatory Drive
Madison, WI  53706
Tel: 608/262-0033
Fax: 608/262-2033
E-Mail: kdwest@wisc.edu
AB  - 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.
ER  -