Predictive Accuracy of GARCH, GJR and EGARCH Models Select Exchange Rates Application

Dr. Ravindran Ramasamy; Shanmugam Munisamy

Predictive Accuracy of GARCH, GJR and EGARCH Models Select Exchange Rates Application

Dr. Ravindran Ramasamy * §

Contact

Shanmugam Munisamy

Contact

§ University Tun Abdul Razak

Predictive Accuracy of GARCH, GJR and EGARCH Models Select Exchange Rates Application

Article Fingerprint

ReserarchID

MBR48PO5

Predictive Accuracy of GARCH, GJR and EGARCH Models Select Exchange Rates Application Banner

Key Research Insights

Synthesized scholarly intelligence & interactive research assistant

Abstract

Accurate forecasted data will reduce not only the hedging costs but also the information will be useful in several other decisions. This paper compares three simulated exchange rates of Malaysian Ringgit with actual exchange rates using GARHC, GJR and EGARCH models. For testing the forecasting effectiveness of GARCH, GJR and EGARCH the daily exchange rates four currencies viz Australian Dollar, Singapore Dollar, Thailand Bhat and Philippine Peso are used. The forecasted rates, using Gaussian random numbers, are compared with the actual exchange rates of year 2011 to estimate errors. Both the forecasted and actual rates are plotted to observe the synchronisation and validation. The results show more volatile exchange rates are predicted well by these GARCH models efficiently than the hard currency exchange rates which are less volatile. Among the three models the effective model is indeterminable as these models forecast the exchange rates in different number of iterations for different currencies. The leverage effect incorporated in GJR and EGARCH models do not improve the results much. The results will be useful for the exchange rate dealers like banks, importers and exporters in managing the exchange rate risks through hedging.

References

10 Cites in Article

Reference Format

T Andersen,T Bollerslev (1997). Heterogeneous information arrivals and returns volatility dynamics.
J Arifovic,R Gencay (2000). Statistical properties of genetic learning in a model of exchange rate.
Richard Baillie,Tim Bollerslev (1989). The Message in Daily Exchange Rates: A Conditional-Variance Tale.
R Baillie (1996). Long memory processes and fractional integration in econometrics.
Richard Baillie,Tim Bollerslev (1992). Prediction in dynamic models with time-dependent conditional variances.
Richard Baillie,Tim Bollerslev,Hans Mikkelsen (1996). Fractionally integrated generalized autoregressive conditional heteroskedasticity.
O Barndorff,Nielsen (1997). Normal inverse Gaussian distributions and stochastic volatility modelling.
O Barndorff,N Nielsen,Shephard (2001). Non-Gaussian Ornstein-Uhlenbeck based models and some of their uses in financial econometrics.
Andrea Beltratti,Claudio Morana (1999). Computing value at risk with high frequency data.
Jan Beran (1994). Stationary processes with long memory.

Download References

Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

How to Cite This Article

Dr. Ravindran Ramasamy, Shanmugam Munisamy. . "Predictive Accuracy of GARCH, GJR and EGARCH Models Select Exchange Rates Application". Global Journal of Management and Business Research - B: Economic & Commerce GJMBR-B Volume 12 (GJMBR Volume 12 Issue B15).

More Citation Formats

Select Citation Style:

Download Citation

GJMBR Volume 12 Issue B15

Explore Journals Explore Volume Read This Issue

Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

Keywords

EGARCH Exchange Rate Forecasting GARCH Gaussian distribution GJR volatility

Classification

GJMBR-B Classification JEL Code: F31

Submission ReceivedDecember 13, 2011
Peer Review Double Blind
Handling Editor
Accepted January 2, 2012
Published January 15, 2012

Version of record

v1.2

Language

English

Experiance in AR

Explore published articles in an immersive Augmented Reality environment. Our platform converts research papers into interactive 3D books, allowing readers to view and interact with content using AR and VR compatible devices.

View in VR

Read in 3D

Your published article is automatically converted into a realistic 3D book. Flip through pages and read research papers in a more engaging and interactive format.

View in 3D

Article Matrices

Total Score: 154

Country: Unknown

Subject: Global Journal of Management and Business Research

Authors: Dr. Ravindran Ramasamy, Shanmugam Munisamy (PhD/Dr. count: 1)

View Count (all-time): 230

Total Views (Real + Logic): 5916

Total Downloads (simulated): 273

Publish Date: 2012 01, Sun

Monthly Totals (Real + Logic):

Month 1: 55 views
Month 2: 48 views
Month 3: 58 views
Month 4: 34 views
Month 5: 47 views
Month 6: 24 views
Month 7: 25 views
Month 8: 21 views
Month 9: 40 views
Month 10: 52 views
Month 11: 28 views
Month 12: 44 views
Month 13: 42 views
Month 14: 46 views
Month 15: 19 views
Month 16: 35 views
Month 17: 29 views
Month 18: 28 views
Month 19: 38 views
Month 20: 23 views
Month 21: 31 views
Month 22: 12 views
Month 23: 19 views
Month 24: 31 views
Month 25: 38 views
Month 26: 29 views
Month 27: 20 views
Month 28: 32 views
Month 29: 15 views
Month 30: 31 views
Month 31: 31 views
Month 32: 36 views
Month 33: 36 views
Month 34: 17 views
Month 35: 14 views
Month 36: 36 views
Month 37: 22 views
Month 38: 30 views
Month 39: 40 views
Month 40: 41 views
Month 41: 22 views
Month 42: 34 views
Month 43: 45 views
Month 44: 27 views
Month 45: 48 views
Month 46: 32 views
Month 47: 23 views
Month 48: 36 views
Month 49: 19 views
Month 50: 33 views
Month 51: 31 views
Month 52: 26 views
Month 53: 29 views
Month 54: 23 views
Month 55: 17 views
Month 56: 23 views
Month 57: 47 views
Month 58: 37 views
Month 59: 41 views
Month 60: 23 views
Month 61: 39 views
Month 62: 42 views
Month 63: 24 views
Month 64: 36 views
Month 65: 26 views
Month 66: 12 views
Month 67: 28 views
Month 68: 36 views
Month 69: 22 views
Month 70: 21 views
Month 71: 49 views
Month 72: 30 views
Month 73: 39 views
Month 74: 22 views
Month 75: 29 views
Month 76: 28 views
Month 77: 33 views
Month 78: 33 views
Month 79: 41 views
Month 80: 41 views
Month 81: 43 views
Month 82: 34 views
Month 83: 36 views
Month 84: 41 views
Month 85: 29 views
Month 86: 16 views
Month 87: 42 views
Month 88: 37 views
Month 89: 13 views
Month 90: 22 views
Month 91: 26 views
Month 92: 20 views
Month 93: 41 views
Month 94: 34 views
Month 95: 31 views
Month 96: 38 views
Month 97: 44 views
Month 98: 39 views
Month 99: 29 views
Month 100: 12 views
Month 101: 19 views
Month 102: 32 views
Month 103: 28 views
Month 104: 15 views
Month 105: 23 views
Month 106: 39 views
Month 107: 39 views
Month 108: 26 views
Month 109: 37 views
Month 110: 27 views
Month 111: 25 views
Month 112: 12 views
Month 113: 28 views
Month 114: 29 views
Month 115: 17 views
Month 116: 23 views
Month 117: 31 views
Month 118: 26 views
Month 119: 34 views
Month 120: 24 views
Month 121: 32 views
Month 122: 17 views
Month 123: 25 views
Month 124: 25 views
Month 125: 19 views
Month 126: 37 views
Month 127: 25 views
Month 128: 40 views
Month 129: 30 views
Month 130: 38 views
Month 131: 33 views
Month 132: 22 views
Month 133: 43 views
Month 134: 11 views
Month 135: 35 views
Month 136: 31 views
Month 137: 42 views
Month 138: 13 views
Month 139: 24 views
Month 140: 41 views
Month 141: 39 views
Month 142: 38 views
Month 143: 31 views
Month 144: 22 views
Month 145: 33 views
Month 146: 21 views
Month 147: 46 views
Month 148: 24 views
Month 149: 31 views
Month 150: 41 views
Month 151: 21 views
Month 152: 27 views
Month 153: 18 views
Month 154: 43 views
Month 155: 45 views
Month 156: 41 views
Month 157: 42 views
Month 158: 42 views
Month 159: 25 views
Month 160: 20 views
Month 161: 23 views
Month 162: 24 views
Month 163: 15 views
Month 164: 19 views
Month 165: 32 views
Month 166: 31 views
Month 167: 20 views
Month 168: 44 views
Month 169: 35 views
Month 170: 34 views
Month 171: 29 views
Month 172: 37 views
Month 173: 36 views
Month 174: 48 views
Month 175: 40 views
Month 176: 38 views
Month 177: 45 views

Total Views: 5.9K

Total Downloads: 273

All Trends