evaluating non-linear models on point and interval forecasts: an application with exchange rates

Clicks: 164
ID: 242105
2005
Free PDF
Article Quality & Performance Metrics
Overall Quality
Not rated
Combines reader engagement with the AI quality analysis. This article has not been analysed, so there is no overall score — reader engagement is measured and shown alongside.
AI Quality Assessment
Not analyzed
Readership in this journal
Steady

Ranked #24 of 41 articles by views in Journal of environmental quality

Most read Least read

Bar heights use a square-root scale.

Mint this article as an NFT
Not yet minted

Create a permanent, verifiable on-chain record of this article on the Scimatic Network. The NFT is held in your Journament account, and you can withdraw it to your own wallet at any time.

5 SUSD one-off · no wallet required
Sign in to mint
Abstract
The aim of this paper is to compare the forecasting performance of SETAR and GARCH models against a linear benchmark using historical data for the returns of the Japanese yen/US dollar exchange rate. The relative performance of the models is evaluated on point forecasts and on interval forecasts. Point forecasts evaluation over the whole forecast period indicates that the performance of the models, when distinguishable, tends to favour the linear models. However, we show that if the evaluation of point forecasts is conducted over distinct subsamples or specific regimes there is more evidence of forecasting gains, especially from the SETAR models. Moreover, when we evaluate the validity of interval forecasts, the results produce clear evidence of the superiority of the non-linear models, and tend to favour especially the GARCH models.
Reference Key
marrocu2005pslevaluating Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors ;Emanuela Marrocu;Gianna Boero
Journal Journal of environmental quality
Year 2005
DOI
DOI not found
URL
http://ojs.uniroma1.it/index.php/PSLQuarterlyReview/article/view/9837/9722
Keywords
demography political scienceeconomic theory

Citations

No citations found. To add a citation, contact the admin at info@scimatic.org

Comments

No comments yet. Be the first to comment on this article.