A double-threshold GARCH model for the French franc/Deutschmark exchange rate

Article Abstract:

An application of the GARCH model to the French franc/Deutschmark exchange rate is described.

Functions related to deposit banking, Foreign Exchange Dealers, Commodity Contracts Dealing, Banking industry, Prices and rates, Foreign exchange rates, Bank fees, Nonlinear theories

---

A threshold model for the French franc/Deutschmark exchange rate

Article Abstract:

An examination of the French franc-deutschmark exchange rate patterns between May 1, 1990 and Mar. 30, 1992 to determine the presence of any nonlinear structure highlighted the inappropriateness of the random walk model. The results, based on a comparison of several models, showed that a single-threshold self-exciting threshold autoregression model composed of a random walk and a low-dimensional autoregression regime provided the best fit for an exchange rate within the European Rate Mechanism operating within prescribed bands.

Models, Econometrics, Prediction theory

---

Linear and non-linear (non-) forecastability of high-frequency exchange rates

Article Abstract:

Forecasts generated by linear time series models on the Daily Sterling exchange rate returns show less promising results compared to the one made by non-linear time series models. Linear models, such as Brown's exponential smoothing model and Box and Jenkins models, are ineffective in forecasting financial asset returns and the financial data being examined are not linear dependent. However, both time series models have only a slight edge over the random walk model when it comes to the accuracy of forecasting exchange rate returns.

Exchange Rates, Security and commodity exchanges, Miscellaneous Intermediation, Economics, Research and Development in the Social Sciences and Humanities, Exchanges ex Securities & Commodities, Exchanges, Commodity exchanges, Forecasting, Return on investment, Rate of return

Similar abstracts:

• Abstracts: Continuous representability of homothetic preferences by means of homogeneous utility functions. Non-time additive utility optimization-the case of certainty
• Abstracts: The canonical extensive form of a game form. Part II. Representation. Stable voting procedures for committees in economic environments
• Abstracts: Equilibrium in an exchange economy with multiple indivisible commodities and money

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.