Modeliranje i predviđanje deviznog kursa: komparacija zemalja Istočne Evrope i razvijenih zemalja
Sažetak
Osnovni cilj ovoga rada jeste testiranje hipoteze da su devizni kursevi u zemljama u razvoju osetljiviji na negativne šokove u odnosu na pozitivne i da razvijene zemlje ne pokazuju isti obrazac, bar ne sa istim intenzitetom. U cilju merenja tržišnih rizika primenjeni su simetrični GARCH model kao i tri asimetrična GARCH modela. Tačnost prediđanja volatilnosti deviznih kurseva ocenjena je primenom nekoliko najčešće korišćenjih kriterijuma: Mincer-Zarnowitz-ovog regresionog testa i Diebold i Mariano testa (DM test). Dnevni prinosi deviznih kurseva HUF/USD, RON/USD i RSD/USD za zemlje istočne Evrope i, EUR/USD, GBP/USF i JPY/USD za razvijene zemlje analizirani su u periodu od 03. januara 2000 do 15. aprila 2013 godine. Ocenjeni rezultati potvrđuju superiornost GARCH modela u poređenju sa ostalim modelima. Rezultati predviđanja uslovne volatilnosti pokazuju da GARCH modeli poseduju superiornije performance predviđanja kako u zemljama Istočne Evrope tako i u razvijenim zemljama. Samo u slučaju rumunskog leja TGARCH model se pokazao kao superiornijim modelom predviđanja uslovne varijanse u odnosu na simetrični GARCH model.
Reference
Andersen, T.G., Bollerslev, T., Diebold, F.X., & Labys, P. (2000). Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian. Multinational Finance Journal, 4, 159-179.
Antonakakis, N., & Darby, J. (2012). Forecasting Volatility in Developing Countries' Nominal Exchange Returns. MPRA Paper No.40875.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307-327. doi:10.1016/0304-4076(86)90063-1
Griebeler, C.M. (2010). Models for Forecasting Exchange Rate Volatility: A Comparison between Developed and Emerging Countries. IMPA.
Diebold, F.X., & Mariano, R.S. (1995). Comparing Predictive Accuracy. Journal of Business & Economic Statistics, 13(3), 253-263. doi:10.1080/07350015.1995.10524599
Ding, Z., Granger, C.W.J., & Engle, R.F. (1993). A long memory property of stock market returns and a new model. Journal of Empirical Finance, 1(1), 83-106. doi:10.1016/0927-5398(93)90006-d
Engle, R.F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987-1007. doi:10.2307/1912773
Hsie, D.A. (1989). Modeling Heteroskedasticity in Daily Foreign-Exchange Rates. Jornal of Business & Economic Statistic,7(3),
Longmore, R., & Robinson, W. (2004). Modeling and Forecasting Exchange Rate Dymanics: An Application of Asymmetric Volatility Models. Bank of Jamaica, Researche Services Department. Working Paper WP 2004/3..
McMillan, D., & Thupayagale, P. (2010). Evaluating Stock Index Return Value-at-Risk Estimates in South Africa: Comparative Evidence for Symmetric, Asymmetric and Long Memory GARCH Models. Journal of Emerging Market Finance, 9(3), 325-345. doi:10.1177/097265271000900304
Mincer, J., & Zarnowitz, V. (1969). The Evaluation of Economic Forecast. In J. Mincer (Ed.), Economic Forecast and Expectations. New York: NBER.
Mundaca, G.G. (1991). The Volatility of the Norwegian Currency Basket. Scandinavian Journal of Economics, 93(1), 53-73. doi:10.2307/3440421
Nelson, D.B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-70. doi:10.2307/2938260
Cheong, V.N.D., Gonpot, N.P., & Sookia, N. (2011). Forecasting Volatility of USD/MUR Exchange Rate using a GARCH (1,1) model with GED and Student’s-t errors. University of Mauritius Research Journal, 17(1), 1-14. doi:10.4314/umrj.v17i1.70728
Olowe, R.A. (2009). Modelling Naira/Dollar Exchange Rate Volatility: Application of GARCH And Asymmetric Models.International Review of Business Research Papers, 5(3), 377-398.
Sandoval, J. (2006). Do Asymmetric Garch models fit better rate volatilities on emerging markets. In Working Paper Universidad Externado do Colombia, Odeon. (pp. 99-116).
Abdalla, S.Z.S. (2012). Modelling Exchange Rate Volatility using GARCH Models: Empirical Evidence from Arab Countries. International Journal of Economics and Finance, 4(3), 216-229. doi:10.5539/ijef.v4n3p216
Zakoian, J. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955. doi:10.1016/0165-1889(94)90039-6