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

dc.contributor.authorHassani, Hossein
dc.contributor.authorYeganegi, Mohammad Reza
dc.contributor.authorCunado, Juncal
dc.contributor.authorGupta, Rangan
dc.date.accessioned2019-11-21T05:51:54Z
dc.date.issued2020
dc.description.abstractThis 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.departmentEconomicsen_ZA
dc.description.embargo2020-09-15
dc.description.librarianhj2019en_ZA
dc.description.sponsorshipThe Ministerio de Economía y Competitividad (ECO2017-83183-R).en_ZA
dc.description.urihttp://www.tandfonline.com/loi/cjas20en_ZA
dc.identifier.citationHossein 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.issn0266-4763 (print)
dc.identifier.issn1360-0532 (online)
dc.identifier.issn10.1080/02664763.2019.1666093
dc.identifier.urihttp://hdl.handle.net/2263/72360
dc.language.isoenen_ZA
dc.publisherTaylor and Francisen_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.subjectInterest ratesen_ZA
dc.subjectVolatilityen_ZA
dc.subjectGARCH modelsen_ZA
dc.subjectForecastingen_ZA
dc.subjectError distributionsen_ZA
dc.subjectUnited Kingdom (UK)en_ZA
dc.titleForecasting interest rate volatility of the United Kingdom : evidence from over 150 years of dataen_ZA
dc.typePreprint Articleen_ZA

Files

Original bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
Hassani_Forecasting_2020.pdf
Size:
476.77 KB
Format:
Adobe Portable Document Format
Description:
Preprint Article

License bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
license.txt
Size:
1.75 KB
Format:
Item-specific license agreed upon to submission
Description: