IDEAS home Printed from https://ideas.repec.org/p/fth/melrfi/97-10.html
   My bibliography  Save this paper

Forecasting Australian Exchange Rate Volatility: A Comparative Study of Alternate Modelling Techniques and the Impact of Power Transformations

Author

Listed:
  • McKenzie, M.D.

Abstract

The modelling and forecasting of exchange rates and their volatility has important implications for many issues in economics and finance. This paper compares the ability of Autoregressive Conditional Heteroscedasticity, Autoregressive and Mean models to forecast the magnitude of change in 19 Australian bilateral exchange rate series. Further, the impact of power transformations on the accuracy of the AR models is considered. The results of this paper suggest that ARCH models generate superior forecasting performance when considering the squared returns of an exchange rate series. However, when one considers power terms other than a squared term, the forecasting accuracy of the AR models often exceeds that of the ARCH models. All models performed reasonably well in a conventional test of forecasting efficiency.

Suggested Citation

  • McKenzie, M.D., 1997. "Forecasting Australian Exchange Rate Volatility: A Comparative Study of Alternate Modelling Techniques and the Impact of Power Transformations," Papers 97-10, Melbourne - Centre in Finance.
    • Handle: RePEc:fth:melrfi:97-10
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Keywords

    EXCHANGE RATE ; FORECASTS ; ECONOMIC MODELS;
    All these keywords.

    JEL classification:

    • F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fth:melrfi:97-10. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Thomas Krichel (email available below). General contact details of provider: https://edirc.repec.org/data/dermiau.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.