Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH Models: Foreign Exchange Market Forecast
This article discusses a comparison of the GARCH and EGARCH conditional variance methods, with respect to the Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH. The returns of four exchange rates were forecasted at daily periodicity from January 2015 to November 2022 and out-of-sample, January 2019, an...
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| Autori principali: | , , |
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| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
Instituto Mexicano de Ejecutivos de Finanzas
2023-06-01
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| Serie: | Revista Mexicana de Economía y Finanzas Nueva Época REMEF |
| Soggetti: | |
| Accesso online: | https://www.remef.org.mx/index.php/remef/article/view/855 |
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