Various volatility forecasting models were tested and compared using shor-term and long-term Korean won/US dollar exchange rates. EWMA model, like in other previous research, shows better estimates than GARCH-type time series models in short-term. In ...
Various volatility forecasting models were tested and compared using shor-term and long-term Korean won/US dollar exchange rates. EWMA model, like in other previous research, shows better estimates than GARCH-type time series models in short-term. In long-term analysis, the relative dominance of EWMA model decays rapidly and the power of FIGARCH model, among other GARCH models, proves to be superior due to its long memory reflecting mechanism.