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A utility-based comparison of some models of exchange rate volatility
Abstract
When estimates of variances are used to make asset allocation decisions, underestimates of population variances lead to lower expected utility than equivalent overestimates: a utility based criterion is asymmetric, unlike standard criteria such as mean squared error. To illustrate how to estimate a utility based criterion, we use five bilateral weekly dollar exchange rates, 1973-1989, and the corresponding pair of Eurodeposit rates. Of homoskedastic, GARCH, autoregressive and nonpararnetric models for the conditional variance of each exchange rate, GARCI-J models tend to produce the highest utility, on average. A mean squared error criterion also favors GARCH, but not as sharply.
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Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Cited by
Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
Andersen, T. G., & Bollerslev, T. (1998) · International Economic Review · doi:10.2307/2527343 · Cited by 3,375
Tests of Conditional Predictive Ability
Giacomini, R., & White, H. (2006) · Econometrica · doi:10.1111/j.1468-0262.2006.00718.x · Cited by 1,646
Forecasting Volatility in Financial Markets: A Review
Poon, S., & Granger, C. W. J. (2003) · Journal of Economic Literature · doi:10.1257/002205103765762743 · Cited by 1,315
The econometrics of financial markets
Pagan, A. (1996) · Journal of Empirical Finance · doi:10.1016/0927-5398(95)00020-8 · Cited by 873
West, K. D. (2006) · Handbook of Economic Forecasting · doi:10.1016/s1574-0706(05)01003-7 · Cited by 182
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Metadata
- Authors
- West, K. D., Edison, H. J., & Cho, D.
- Venue
- Journal of International Economics
- Publisher
- Elsevier BV
- Published
- 1993-08
- Volume
- 35
- Issue
- 1-2
- Pages
- 23-45
- ISSN
- 0022-1996 (ISSN-L)
- OpenAlex
- W2055808879
- Cited by
- 333
- References
- 1
- FWCI
- 11.31
- Type
- journal article
- Language
- en
- Open access
- closed
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