Forecast volatility in value of the EUR/USD
Currency volatility is unobservable but plays an important role on the international financial market, especially the EUR/USD volatility. In an attempt to select the most accurate model for forecasting this currency volatility, the EWMA models and the GARCH family models under normal and student-t d...
| Main Author: | |
|---|---|
| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2013
|
| Online Access: | https://eprints.nottingham.ac.uk/26749/ |
| _version_ | 1848793238930980864 |
|---|---|
| author | ZHONG, YANJI |
| author_facet | ZHONG, YANJI |
| author_sort | ZHONG, YANJI |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | Currency volatility is unobservable but plays an important role on the international financial market, especially the EUR/USD volatility. In an attempt to select the most accurate model for forecasting this currency volatility, the EWMA models and the GARCH family models under normal and student-t distributions have been applied to analyze their daily and weekly out-of-sample forecast performance. For this, the parameter of EW MA has been set based on literature evidence, and the GARCH-type models are estimated by daily and weekly in-sample data. With the help of the log-likelihood criteria and two out-of-sample evaluation tests, three conclusions can be drawn. Firstly, a model fitting in-sample well cannot be guaranteed to fit out-of-sample well. Secondly, the relatively high-frequency data is capable for forecasting better than the low-frequency data. Thirdly, there is no clear conclusion about the existence of the volatility leverage effect and the volatility feedback in daily and weekly currency series. However, there is slight volatility persistence in this currency, although only weak evidence has been found. |
| first_indexed | 2025-11-14T18:57:08Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-26749 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:57:08Z |
| publishDate | 2013 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-267492022-03-21T16:11:21Z https://eprints.nottingham.ac.uk/26749/ Forecast volatility in value of the EUR/USD ZHONG, YANJI Currency volatility is unobservable but plays an important role on the international financial market, especially the EUR/USD volatility. In an attempt to select the most accurate model for forecasting this currency volatility, the EWMA models and the GARCH family models under normal and student-t distributions have been applied to analyze their daily and weekly out-of-sample forecast performance. For this, the parameter of EW MA has been set based on literature evidence, and the GARCH-type models are estimated by daily and weekly in-sample data. With the help of the log-likelihood criteria and two out-of-sample evaluation tests, three conclusions can be drawn. Firstly, a model fitting in-sample well cannot be guaranteed to fit out-of-sample well. Secondly, the relatively high-frequency data is capable for forecasting better than the low-frequency data. Thirdly, there is no clear conclusion about the existence of the volatility leverage effect and the volatility feedback in daily and weekly currency series. However, there is slight volatility persistence in this currency, although only weak evidence has been found. 2013-09-20 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/26749/1/finalthesis12.pdf ZHONG, YANJI (2013) Forecast volatility in value of the EUR/USD. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | ZHONG, YANJI Forecast volatility in value of the EUR/USD |
| title | Forecast volatility in value of the EUR/USD |
| title_full | Forecast volatility in value of the EUR/USD |
| title_fullStr | Forecast volatility in value of the EUR/USD |
| title_full_unstemmed | Forecast volatility in value of the EUR/USD |
| title_short | Forecast volatility in value of the EUR/USD |
| title_sort | forecast volatility in value of the eur/usd |
| url | https://eprints.nottingham.ac.uk/26749/ |