General to Specific Modelling of Exchange Rate Volatility : a Forecast Evaluation *

  title={General to Specific Modelling of Exchange Rate Volatility : a Forecast Evaluation *},
  author={Luc Bauwens and Genaro Sucarrat},
The general-to-specific (GETS) methodology is widely employed in the modelling of economic series, but less so in financial volatility modelling due to computational complexity when many explanatory variables are involved. This study proposes a simple way of avoiding this problem when the conditional mean can appropriately be restricted to zero, and undertakes an out-of-sample forecast evaluation of the methodology applied to the modelling of weekly exchange rate volatility. Our findings… CONTINUE READING


Publications referenced by this paper.
Showing 1-10 of 48 references

Options, Futures and Other Derivatives

  • J. C. Hull
  • London: Prentice Hall International. Fourth…
  • 2000
Highly Influential
8 Excerpts

Volatility and correlation forecasting

  • T. Andersen, T. Bollerslev, P. F. Christoffersen, F. X. Diebold
  • G. Elliott, C. Granger, and A. Timmermann (Eds…
  • 2006
Highly Influential
9 Excerpts

Essays in the Study and Modelling of Exchange Rate Volatility

  • G. Sucarrat
  • Ph. D. thesis, Department of Economics, Universit…
  • 2006
Highly Influential
4 Excerpts

Evaluating a Model by Forecast Performance

  • M. P. Clements, D. F. Hendry
  • Oxford Bulletin of Economics and Statistics 67…
  • 2005
Highly Influential
2 Excerpts


  • J. Doornik
  • Unpublished manuscript, Economics Department…
  • 2008
2 Excerpts

Similar Papers

Loading similar papers…