. The data covers the period of 2005-2009. To effectively forecast the volatility in the exchange rates, a GARCH model is … forecasting can be made at least for the next day given the high degree of volatility in the crisis period. The paper also reveals …

large number of forecasting models have been designed to forecast crude oil prices' volatility, so far the relative … performance evaluation of competing forecasting models remains an exercise that is unidimensional in nature. To be more specific …

addition, widely used regression models have not been evaluated in terms of ex-ante forecasting. In this paper we analyze the … particularly provide a comparison of linear and nonlinear models with respect to ex-ante forecasting. In terms of average ranks of …

-ante forecasting. In this paper we analyze the impact of exchange rate uncertainty on specific categories of exports and imports for 13 …. Parametric threshold models are found to outperform linear regression models in terms of fitting and ex-ante forecasting. In …

model-free methods of volatility forecasting do not exist any more than do arbitrage opportunities (free lunches) in …

This paper proposes a new model for modeling and forecasting the volatility of asset markets. We suggest to use the log … significantly better than a linear model, clearly distinguishing periods of high and low volatility. A forecasting exercise leads to … promising results by showing that some specifications of the model are able to clearly decrease forecasting errors with respect …