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

@inproceedings{Bauwens2006GeneralTS,
  title={General to Specific Modelling of Exchange Rate Volatility : a Forecast Evaluation *},
  author={Luc Bauwens and Genaro Sucarrat},
  year={2006}
}
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

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