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...

Descripció completa

Dades bibliogràfiques

Autors principals:	José Eduardo Medina Reyes, Agustín Ignacio Cabrera Llanos, Salvador Cruz Aké
Format:	Artigo
Idioma:	Inglês
Publicat:	Instituto Mexicano de Ejecutivos de Finanzas 2023-06-01
Col·lecció:	Revista Mexicana de Economía y Finanzas Nueva Época REMEF
Matèries:	fuzzy logic, garch, egarch, fuzzy garch, fuzzy egarch
Accés en línia:	https://www.remef.org.mx/index.php/remef/article/view/855
Etiquetes:	Afegir etiqueta Sense etiquetes, Sigues el primer a etiquetar aquest registre!