Forecasting exchange rate volatility: An amalgamation approach

IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE Journal of International Financial Markets Institutions & Money Pub Date : 2024-11-04 DOI:10.1016/j.intfin.2024.102067
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Abstract

The importance of exchange rate volatility forecasting has both practical and academic merit. Our aim is to provide a comprehensive analysis of the forecasting ability of financial and macroeconomics variables for future exchange rate volatility. We employ seven widely traded currencies against the US dollar and examine linear models and a variety of machine learning, dimensionality reduction and forecast combination approaches, along with creating a grand forecast (amalgamation approach) from these approaches. Our findings highlight the predictive power of the amalgamation approach, as well as the positive contribution of macroeconomic and financial variables in the forecasting experiment. Furthermore, we generate forecasts on the separate frequencies of volatility using wavelet analysis, in order to extract frequency-related information and examine timing effects in the performance of the methods.
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预测汇率波动:综合方法
汇率波动预测的重要性既有实用价值,也有学术价值。我们的目标是全面分析金融和宏观经济变量对未来汇率波动的预测能力。我们采用了七种广泛交易的货币兑美元汇率,研究了线性模型和各种机器学习、降维和预测组合方法,并从这些方法中创建了一个总预测(合并方法)。我们的研究结果凸显了合并法的预测能力,以及宏观经济和金融变量在预测实验中的积极贡献。此外,我们还利用小波分析对波动的不同频率进行了预测,以提取与频率相关的信息,并研究这些方法的性能中的时间效应。
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来源期刊
CiteScore
6.60
自引率
10.00%
发文量
142
期刊介绍: International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.
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