Forecasting interest rate volatility of the United Kingdom : evidence from over 150 years of data
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 | 2020 | |
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 (2020): Forecasting interest rate volatility of the United Kingdom: evidence from over 150 years of data, Journal of Applied Statistics 47(6): 1128-1143, 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. 47, no. 6, pp. 1128-1143, 2020. 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 |