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Social and Behavioral Sciences

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Central Bank of Nigeria

2016

Conditional heteroscedasticity

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Empirical Model For Forecasting Exchange Rate Dynamics: The Go-Garch Approach, Godknows Isenah, Olusanya E. Olubusoye Jun 2016

Empirical Model For Forecasting Exchange Rate Dynamics: The Go-Garch Approach, Godknows Isenah, Olusanya E. Olubusoye

CBN Journal of Applied Statistics (JAS)

The study aimed at determining a set of superior generalized orthogonal-GARCH (GO-GARCH) models for forecasting time-varying conditional correlations and variances of five foreign exchange rates vis-à-vis the Nigerian Naira. Daily data covering the period 02/01/2009 to 19/03/2015 was used, and four estimators of the GO-GARCH model were considered for fitting the models. Forecast performance tests were conducted using the Diebold-Mariano (DM) and the model confidence set (MCS) tests procedures. The DM test indicates preference for the GO-GARCH model estimated with nonlinear least squares (NLS) estimator – denoted as GOGARCH-NLS, while the MCS test determined a set of superior models (SSM) …