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Modeling and forecasting exchange rate volatility in Bangladesh using GARCH models: a comparison based on normal and Student's t-error distribution

Abdullah, S. M.; Siddiqua, Salina; Siddiquee, Muhammad … - In: Financial Innovation 3 (2017) 18, pp. 1-19

(GARCH), asymmetric power ARCH (APARCH), exponential generalized autoregressive conditional heteroscedstic (EGARCH …-of-sample volatility forecasting, AR(2)-GARCH(1, 1) is considered the best. …

Persistent link: https://www.econbiz.de/10011808257

Modeling and forecasting exchange rate volatility in Bangladesh using GARCH models : a comparison based on normal and Student's t-error distribution

Abdullah, S. M.; Siddiqua, Salina; Siddiquee, Muhammad … - In: Financial innovation : FIN 3 (2017) 18, pp. 1-19

(GARCH), asymmetric power ARCH (APARCH), exponential generalized autoregressive conditional heteroscedstic (EGARCH …-of-sample volatility forecasting, AR(2)–GARCH(1, 1) is considered the best. …

Persistent link: https://www.econbiz.de/10011747702