Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH Models: Foreign Exchange Market Forecast
Fuente:
Redalyc
Saved in:
| Main Author: | |
|---|---|
| Format: | Artículo científico |
| Language: | en |
| Published: |
Instituto Mexicano de Ejecutivos de Finanzas A.C.
2023
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1876429269456912384 |
|---|---|
| author | José Eduardo Medina Reyes |
| author_facet | José Eduardo Medina Reyes |
| contents | Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH Models: Foreign Exchange Market Forecast José Eduardo Medina Reyes Agustín Ignacio Cabrera Llanos Salvador Cruz Aké Economía y Finanzas GARCH EGARCH Fuzzy Logic FUZZY GARCH FUZZY EGARCH This article discusses a comparison of the GARCH and EGARCH conditional variance methods, with respect to the Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH. The returns of four exchange rates were forecasted at daily periodicity from January 2015 to November 2022 and out-of-sample, January 2019, and December 2022. The results indicate that the Fuzzy GARCH and Fuzzy EGARCH models better estimate the volatility behaviour of the exchange market series compared to traditional techniques. Therefore, the recommendation is to estimate other high volatility variables to verify the efficiency of the fuzzy techniques, however, the main limitation is that it is not possible to apply traditional econometric tests for fuzzy techniques because the parameters are not estimated with the logarithm of maximum likelihood. The estimation of the parameters of GARCH and EGARCH models with fuzzy theory is the originality proposal. In conclusion, fuzzy methodologies have less error in forecasting the volatility of in-sample and out-of-sample exchange rates.JEL Classification:C22, C51, C53. 2023 artículo científico 1665-5346 https://www.redalyc.org/articulo.oa?id=423780695002 https://www.redalyc.org/journal/4237/423780695002/ https://www.redalyc.org/journal/4237/423780695002/html/ https://www.redalyc.org/journal/4237/423780695002/423780695002.epub https://www.redalyc.org/journal/4237/423780695002/movil 10.21919/remef.v18.3.855 en http://www.redalyc.org/revista.oa?id=4237 Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance application/pdf Instituto Mexicano de Ejecutivos de Finanzas A.C. Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance (México) Num.3 Vol.18 |
| format | Artículo científico |
| id | redalyc_423780695002 |
| institution | Redalyc |
| language | en |
| publishDate | 2023 |
| publisher | Instituto Mexicano de Ejecutivos de Finanzas A.C. |
| spellingShingle | Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH Models: Foreign Exchange Market Forecast José Eduardo Medina Reyes Economía y Finanzas GARCH EGARCH Fuzzy Logic FUZZY GARCH FUZZY EGARCH Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH Models: Foreign Exchange Market Forecast José Eduardo Medina Reyes Agustín Ignacio Cabrera Llanos Salvador Cruz Aké Economía y Finanzas GARCH EGARCH Fuzzy Logic FUZZY GARCH FUZZY EGARCH This article discusses a comparison of the GARCH and EGARCH conditional variance methods, with respect to the Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH. The returns of four exchange rates were forecasted at daily periodicity from January 2015 to November 2022 and out-of-sample, January 2019, and December 2022. The results indicate that the Fuzzy GARCH and Fuzzy EGARCH models better estimate the volatility behaviour of the exchange market series compared to traditional techniques. Therefore, the recommendation is to estimate other high volatility variables to verify the efficiency of the fuzzy techniques, however, the main limitation is that it is not possible to apply traditional econometric tests for fuzzy techniques because the parameters are not estimated with the logarithm of maximum likelihood. The estimation of the parameters of GARCH and EGARCH models with fuzzy theory is the originality proposal. In conclusion, fuzzy methodologies have less error in forecasting the volatility of in-sample and out-of-sample exchange rates.JEL Classification:C22, C51, C53. 2023 artículo científico 1665-5346 https://www.redalyc.org/articulo.oa?id=423780695002 https://www.redalyc.org/journal/4237/423780695002/ https://www.redalyc.org/journal/4237/423780695002/html/ https://www.redalyc.org/journal/4237/423780695002/423780695002.epub https://www.redalyc.org/journal/4237/423780695002/movil 10.21919/remef.v18.3.855 en http://www.redalyc.org/revista.oa?id=4237 Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance application/pdf Instituto Mexicano de Ejecutivos de Finanzas A.C. Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance (México) Num.3 Vol.18 |
| title | Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH Models: Foreign Exchange Market Forecast |
| topic | Economía y Finanzas GARCH EGARCH Fuzzy Logic FUZZY GARCH FUZZY EGARCH |
| url | https://www.redalyc.org/articulo.oa?id=423780695002 https://www.redalyc.org/journal/4237/423780695002/ https://www.redalyc.org/journal/4237/423780695002/html/ https://www.redalyc.org/journal/4237/423780695002/423780695002.epub https://www.redalyc.org/journal/4237/423780695002/movil |