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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| Pubblicato in: | Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance |
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| Autori principali: | , , |
| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
Instituto Mexicano de Ejecutivos de Finanzas A.C.
2023
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| Soggetti: | |
| Accesso online: | https://www.redalyc.org/articulo.oa?id=423780695002 https://www.redalyc.org/journal/4237/423780695002/ https://www.redalyc.org/journal/4237/423780695002/html/ https://www.redalyc.org/journal/4237/423780695002/423780695002.epub https://www.redalyc.org/journal/4237/423780695002/movil |
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