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• W1687661509 abstract "The volatility accuracy of several volatility forecast models is examined for the case of daily spot returns for the Mexican peso - US Dollar exchange rate. The models applied are univariate GARCH, a multi-variate GARCH (BEKK model), option implied volatilities, and a composite forecast model. The results show that the composite volatility forecasts are superior to the other models in terms of mean squared errors. Conclusions are as follows: the composite model is superior and both type of data -historical and implied in option prices" @default.
• W1687661509 created "2016-06-24" @default.
• W1687661509 creator A5010812217 @default.
• W1687661509 date "2006-04-28" @default.
• W1687661509 modified "2023-09-23" @default.
• W1687661509 title "Volatility Forecasts for the Mexican Peso - U.S. Dollar Exchange Rate: An Empirical Analysis of GARCH, Option Implied and Composite Forecast Models *" @default.
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