摘要：In this paper, a robust analysis of volatility forecasting of the GBP-ETB exchange rate was provided using weekly data spanning the period June 30, 2003-January 24, 2020. To our knowledge, this was the first study that focuses on the GBP-ETB exchange rate using high-frequency data and the Fuzzy-EGARCH-ANN econometric model. The research finds that the best performing model in terms of one-step ahead forecasts based on realized volatility computed from the underlying daily data series is the Fuzzy-EGARCH-ANN(1, 2, 2, 1) with students t-distribution.
关键词：Volatility Forecasting;ARCH;EGARCH;ANN;Semi-Parametric Non-Linear Fuzzy-EGARCH-ANN Model
