One-Step-Ahead Forecastability of GARCH (1,1): A Comparative Analysis of USD- and PKR-Based Exchange Rate Volatilities

This study aims to capture volatility patterns using GARCH (1,1) models. It evaluates these models to obtain one-step-ahead forecastabilities by employing four major forecasting evaluation criteria, and compares two different currencies— the Pakistan rupee and the US dollar—as domestic and foreign...

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Detalles Bibliográficos

Principais autores:	Abdul Jalil Khan, Parvez Azim
Formato:	Artigo
Idioma:	Inglês
Publicado:	Lahore School of Economics 2024-07-01
Series:	Lahore Journal of Economics
Assuntos:	Time series analysis GARCH models foreign exchange markets forecasting exchange rate volatility Pakistan.
Acceso en liña:	https://journals.lahoreschool.edu.pk/LJE/LJE/article/view/373
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