Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH Models: Foreign Exchange Market Forecast

This article discusses a comparison of the GARCH and EGARCH conditional variance methods, with respect to the Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH. The returns of four exchange rates were forecasted at daily periodicity from January 2015 to November 2022 and out-of-sample, January 2019, an...

Full description

Bibliographic Details

Published in:	Revista Mexicana de Economía y Finanzas Nueva Época REMEF
Main Authors:	José Eduardo Medina Reyes, Agustín Ignacio Cabrera Llanos, Salvador Cruz Aké
Format:	Article
Language:	English
Published:	Instituto Mexicano de Ejecutivos de Finanzas 2023-06-01
Subjects:	fuzzy logic, garch, egarch, fuzzy garch, fuzzy egarch
Online Access:	https://www.remef.org.mx/index.php/remef/article/view/855