TITLE:
Modeling Exchange Rate Volatility Dynamics of the Great Britain Pound to Ethiopian Birr Using the Semi-Parametric Non-Linear Fuzzy-EGARCH-ANN Model
AUTHORS:
Geleta T. Mohammed, Jane A. Aduda, Ananda O. Kube
KEYWORDS:
Volatility Forecasting, ARCH, EGARCH, ANN, Semi-Parametric Non-Linear Fuzzy-EGARCH-ANN Model
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.10 No.4,
October
23,
2020
ABSTRACT: In this paper, a robust analysis of volatility forecasting of the GBP-ETB exchange rate was provided using weekly data spanning the period June 30, 2003-January 24, 2020. To our knowledge, this was the first study that focuses on the GBP-ETB exchange rate using high-frequency data and the Fuzzy-EGARCH-ANN econometric model. The research finds that the best performing model in terms of one-step ahead forecasts based on realized volatility computed from the underlying daily data series is the Fuzzy-EGARCH-ANN(1, 2, 2, 1) with students t-distribution.