Forecasting interest rate volatility of the United Kingdom : evidence from over 150 years of data

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dc.contributor.author Hassani, Hossein
dc.contributor.author Yeganegi, Mohammad Reza
dc.contributor.author Cunado, Juncal
dc.contributor.author Gupta, Rangan
dc.date.accessioned 2019-11-21T05:51:54Z
dc.date.issued 2019
dc.description.abstract This study examines the very short, short, medium and long-term forecasting ability of different univariate GARCH models of United Kingdom (UK)'s interest rate volatility, using a long span monthly data from May 1836 to June 2018. The main results show the relevance of considering alternative error distributions to the normal distribution when estimating GARCH-type models. Thus, we obtain that the Asymmetric Power ARCH (A-PARCH) models with skew generalized error distribution are the most accurate models when forecasting UK interest rates, while for the short, medium and long-term term forecasting horizons, GARCH models with generalized error distribution for the error term are the most accurate models in forecasting UK's interest rates. en_ZA
dc.description.department Economics en_ZA
dc.description.embargo 2020-09-15
dc.description.librarian hj2019 en_ZA
dc.description.sponsorship The Ministerio de Economía y Competitividad (ECO2017-83183-R). en_ZA
dc.description.uri http://www.tandfonline.com/loi/cjas20 en_ZA
dc.identifier.citation Hossein Hassani, Mohammad Reza Yeganegi, Juncal Cuñado & Rangan Gupta (2019): Forecasting interest rate volatility of the United Kingdom: evidence from over 150 years of data, Journal of Applied Statistics, DOI: 10.1080/02664763.2019.1666093. NYP. en_ZA
dc.identifier.issn 0266-4763 (print)
dc.identifier.issn 1360-0532 (online)
dc.identifier.issn 10.1080/02664763.2019.1666093
dc.identifier.uri http://hdl.handle.net/2263/72360
dc.language.iso en en_ZA
dc.publisher Taylor and Francis en_ZA
dc.rights © 2019 Informa UK Limited, trading as Taylor & Francis Group. This is an electronic version of an article published in Journal of Applied Statistics, vol. , no. , pp. , 2019. doi : 10.1080/02664763.2019.1666093. Journal of Applied Statistics is available online at : http://www.tandfonline.comloi/cjas20. en_ZA
dc.subject Interest rates en_ZA
dc.subject Volatility en_ZA
dc.subject GARCH models en_ZA
dc.subject Forecasting en_ZA
dc.subject Error distributions en_ZA
dc.subject United Kingdom (UK) en_ZA
dc.title Forecasting interest rate volatility of the United Kingdom : evidence from over 150 years of data en_ZA
dc.type Preprint Article en_ZA


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