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Point, interval and density forecasts of exchange rates with time varying parameter models

机译:带有时变参数模型的汇率的点,区间和密度预测

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We explore whether modelling parameter time variation improves the point, interval and density forecasts of nine major exchange rates vis-a-vis the US dollar over the period 1976-2015. We find that modelling parameter time variation is needed for an accurate calibration of forecast confidence intervals and is better suited at long horizons and in high volatility periods. The biggest forecast improvements are obtained by modelling time variation in the volatilities of the innovations, rather than in the slope parameters. We do not find evidence that parameter time variation helps to unravel exchange rate predictability by macroeconomic fundamentals. However, an economic evaluation of the various forecast models reveals that controlling for parameter time variation and macroeconomic fundamentals leads to higher portfolios returns, and to higher utility values for investors.
机译:我们探讨了建模参数时间变化是否会改善1976-2015年期间相对于美元的九种主要汇率的点,区间和密度预测。我们发现建模参数时间变化对于准确预测预测的置信区间是必需的,并且更适合于长期和高波动时期。通过对创新的波动性而不是斜率参数中的时间变化进行建模,可以获得最大的预测改进。我们没有找到证据表明参数时间变化有助于通过宏观经济基本原理来解释汇率的可预测性。但是,对各种预测模型的经济评估表明,控制参数时间变化和宏观经济基本面会导致更高的投资组合收益和更高的投资者效用价值。

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