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...

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Detalles Bibliográficos
Autores: José Eduardo Medina Reyes, Agustín Ignacio Cabrera Llanos, Salvador Cruz Aké
Tipo de recurso: artículo
Estado:Versión publicada
Fecha de publicación:2023
País:México
Institución:Instituto Politécnico Nacional
Repositorio:Redalyc-IPN
OAI Identifier:oai:redalyc.org:423780695002
Acceso en línea:https://www.redalyc.org/articulo.oa?id=423780695002
https://www.redalyc.org/journal/4237/423780695002/
https://www.redalyc.org/journal/4237/423780695002/html/
https://www.redalyc.org/journal/4237/423780695002/423780695002.epub
https://www.redalyc.org/journal/4237/423780695002/movil
Access Level:acceso abierto
Palabra clave:Economía y Finanzas
GARCH
EGARCH
Fuzzy Logic
FUZZY GARCH
FUZZY EGARCH
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spelling Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH Models: Foreign Exchange Market ForecastJosé Eduardo Medina ReyesAgustín Ignacio Cabrera LlanosSalvador Cruz AkéEconomía y FinanzasGARCHEGARCHFuzzy LogicFUZZY GARCHFUZZY EGARCHThis 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, and December 2022. The results indicate that the Fuzzy GARCH and Fuzzy EGARCH models better estimate the volatility behaviour of the exchange market series compared to traditional techniques. Therefore, the recommendation is to estimate other high volatility variables to verify the efficiency of the fuzzy techniques, however, the main limitation is that it is not possible to apply traditional econometric tests for fuzzy techniques because the parameters are not estimated with the logarithm of maximum likelihood. The estimation of the parameters of GARCH and EGARCH models with fuzzy theory is the originality proposal. In conclusion, fuzzy methodologies have less error in forecasting the volatility of in-sample and out-of-sample exchange rates.JEL Classification:C22, C51, C53.Instituto Mexicano de Ejecutivos de Finanzas A.C.2023info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdf1665-5346https://www.redalyc.org/articulo.oa?id=423780695002https://www.redalyc.org/journal/4237/423780695002/https://www.redalyc.org/journal/4237/423780695002/html/https://www.redalyc.org/journal/4237/423780695002/423780695002.epubhttps://www.redalyc.org/journal/4237/423780695002/movil10.21919/remef.v18.3.855Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance (México) Num.3 Vol.18reponame:Redalyc-IPNinstname:Instituto Politécnico Nacionalinstacron:IPNenhttp://www.redalyc.org/revista.oa?id=4237Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Financeinfo:eu-repo/semantics/openAccessoai:redalyc.org:4237806950022026-01-29T02:55:50Z
dc.title.none.fl_str_mv Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH Models: Foreign Exchange Market Forecast
title Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH Models: Foreign Exchange Market Forecast
spellingShingle Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH Models: Foreign Exchange Market Forecast
José Eduardo Medina Reyes
Economía y Finanzas
GARCH
EGARCH
Fuzzy Logic
FUZZY GARCH
FUZZY EGARCH
title_short Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH Models: Foreign Exchange Market Forecast
title_full Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH Models: Foreign Exchange Market Forecast
title_fullStr Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH Models: Foreign Exchange Market Forecast
title_full_unstemmed Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH Models: Foreign Exchange Market Forecast
title_sort Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH Models: Foreign Exchange Market Forecast
dc.creator.none.fl_str_mv José Eduardo Medina Reyes
Agustín Ignacio Cabrera Llanos
Salvador Cruz Aké
author José Eduardo Medina Reyes
author_facet José Eduardo Medina Reyes
Agustín Ignacio Cabrera Llanos
Salvador Cruz Aké
author_role author
author2 Agustín Ignacio Cabrera Llanos
Salvador Cruz Aké
author2_role author
author
dc.subject.none.fl_str_mv Economía y Finanzas
GARCH
EGARCH
Fuzzy Logic
FUZZY GARCH
FUZZY EGARCH
topic Economía y Finanzas
GARCH
EGARCH
Fuzzy Logic
FUZZY GARCH
FUZZY EGARCH
description 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, and December 2022. The results indicate that the Fuzzy GARCH and Fuzzy EGARCH models better estimate the volatility behaviour of the exchange market series compared to traditional techniques. Therefore, the recommendation is to estimate other high volatility variables to verify the efficiency of the fuzzy techniques, however, the main limitation is that it is not possible to apply traditional econometric tests for fuzzy techniques because the parameters are not estimated with the logarithm of maximum likelihood. The estimation of the parameters of GARCH and EGARCH models with fuzzy theory is the originality proposal. In conclusion, fuzzy methodologies have less error in forecasting the volatility of in-sample and out-of-sample exchange rates.JEL Classification:C22, C51, C53.
publishDate 2023
dc.date.none.fl_str_mv 2023
dc.type.none.fl_str_mv info:eu-repo/semantics/publishedVersion
info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv 1665-5346
https://www.redalyc.org/articulo.oa?id=423780695002
https://www.redalyc.org/journal/4237/423780695002/
https://www.redalyc.org/journal/4237/423780695002/html/
https://www.redalyc.org/journal/4237/423780695002/423780695002.epub
https://www.redalyc.org/journal/4237/423780695002/movil
10.21919/remef.v18.3.855
identifier_str_mv 1665-5346
10.21919/remef.v18.3.855
url https://www.redalyc.org/articulo.oa?id=423780695002
https://www.redalyc.org/journal/4237/423780695002/
https://www.redalyc.org/journal/4237/423780695002/html/
https://www.redalyc.org/journal/4237/423780695002/423780695002.epub
https://www.redalyc.org/journal/4237/423780695002/movil
dc.language.none.fl_str_mv en
language_invalid_str_mv en
dc.relation.none.fl_str_mv http://www.redalyc.org/revista.oa?id=4237
dc.rights.none.fl_str_mv Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Instituto Mexicano de Ejecutivos de Finanzas A.C.
publisher.none.fl_str_mv Instituto Mexicano de Ejecutivos de Finanzas A.C.
dc.source.none.fl_str_mv Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance (México) Num.3 Vol.18
reponame:Redalyc-IPN
instname:Instituto Politécnico Nacional
instacron:IPN
instname_str Instituto Politécnico Nacional
instacron_str IPN
institution IPN
reponame_str Redalyc-IPN
collection Redalyc-IPN
repository.name.fl_str_mv
repository.mail.fl_str_mv
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