The Use of Mutual Information to Improve Value-at-Risk Forecasts for Exchange Rates

The Use of Mutual Information to Improve Value-at-Risk Forecasts for Exchange Rates

In this paper, we show a simple but novel approach in an attempt to improve value-at-risk forecasts. We use mutually dependent covariate returns to create exogenous break variables and jointly use the variables to augment GARCH models to account for time-variations and breaks in the unconditional vo...

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Bibliographic Details
Main Authors: Albert Antwi, Kwabena A. Kyei, Ryan S. Gill
Format: Article
Language:English
Published: IEEE 2020-01-01
Series:IEEE Access
Subjects:
Exogenous break
mutual information
value-at-risk
volatility
Online Access:https://ieeexplore.ieee.org/document/9208673/

Internet

https://ieeexplore.ieee.org/document/9208673/

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