Decision Sciences
4 years ago

Revolutionary Forecasting Method Predicts Exchange Rate Volatility with Unprecedented Accuracy

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Econometric Society World Congress 2000 Contributed Papers
Non-Linear Markov Modelling Using Canonical Variate Analysis: Forecasting Exchange Rate Volatility
Alistair Mees, B. Pilgram

Paper Summary

A new method using nonlinear Markov modelling and canonical variate analysis was developed to forecast exchange rate volatility. The model outperformed the traditional GARCH(1,1) model by better capturing complex patterns in volatility.

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