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...

ver descrição completa

Detalhes bibliográficos

Principais autores:	Abdul Jalil Khan, Parvez Azim
Formato:	Artigo
Idioma:	Inglês
Publicado em:	Lahore School of Economics 2024-07-01
coleção:	Lahore Journal of Economics
Assuntos:	Time series analysis GARCH models foreign exchange markets forecasting exchange rate volatility Pakistan.
Acesso em linha:	https://journals.lahoreschool.edu.pk/LJE/LJE/article/view/373
Tags:	Adicionar Tag Sem tags, seja o primeiro a adicionar uma tag!