Predicting Exchange Rate Volatility: Genetic Programming versus GARCH and RiskMetrics
Neely, Christopher J., Weller, Paul A., Review - Federal Reserve Bank of St. Louis
It is well established that the volatility of asset prices displays considerable persistence. That is, large movements in prices tend to be followed by more large moves, producing positive serial correlation in squared returns. Thus, current and past volatility can be used to predict future volatility This fact is important to both financial market practitioners and regulators.
Professional traders in equity and foreign exchange markets must pay attention not only to the expected return from their trading activity but also to the risk that they incur. Risk-averse investors will wish to reduce their exposure during periods of high volatility, and improvements in risk-adjusted …
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Publication information:
Article title: Predicting Exchange Rate Volatility: Genetic Programming versus GARCH and RiskMetrics.
Contributors: Neely, Christopher J. - Author, Weller, Paul A. - Author.
Journal title: Review - Federal Reserve Bank of St. Louis.
Volume: 84.
Issue: 3
Publication date: May/June 2002.
Page number: 43+.
© Federal Reserve Bank of St. Louis Nov/Dec 1996.
Provided by ProQuest LLC. All Rights Reserved.
This material is protected by copyright and, with the exception of fair use, may not be further copied, distributed or transmitted in any form or by any means.
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