Structural breaks and GARCH models of exchange rate volatility: Re-examination and extension

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Applied Econometrics Pub Date : 2024-08-06 DOI:10.1002/jae.3091

Akram Shavkatovich Hasanov, Robert Brooks, Sirojiddin Abrorov, Aktam Usmanovich Burkhanov

引用次数: 0

Abstract

We examine the empirical significance of structural changes concerning generalized autoregressive conditional heteroskedasticity (GARCH) models of exchange rate volatility using out-of-sample tests by replicating and carrying out robustness checks on the volatility forecasting study by Rapach and Strauss (Journal of Applied Econometrics, 2008; 23, 65–90). We employ the same econometric models but incorporate recent US dollar daily exchange rates data while also using different software, a relatively recent forecast accuracy test and loss metrics. Our objective is to attain scientific replication in a broad sense. Our analysis verifies and broadly aligns with the results obtained in the original study. In particular, we find strong evidence that the models incorporating structural breaks demonstrate superior performance across all loss functions and forecast horizons compared with those models that ignore instabilities.

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汇率波动的结构性中断和 GARCH 模型：重新审视和扩展

摘要我们通过复制 Rapach 和 Strauss 的波动率预测研究（《应用计量经济学杂志》，2008 年；23, 65-90）并对其进行稳健性检验，利用样本外检验来研究汇率波动率的广义自回归条件异方差（GARCH）模型结构变化的实证意义。我们采用了相同的计量经济学模型，但纳入了最近的美元每日汇率数据，同时还使用了不同的软件、相对较新的预测准确性测试和损失度量。我们的目标是实现广义上的科学复制。我们的分析验证了原始研究的结果，并与之基本一致。特别是，我们发现有力的证据表明，与忽略不稳定性的模型相比，包含结构性断裂的模型在所有损失函数和预测期限内都表现出更优越的性能。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Applied Econometrics Multiple-

CiteScore

3.70

自引率

4.80%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.