International Journal of Business and Social Science

ISSN 2219-1933 (Print), 2219-6021 (Online) DOI: 10.30845/ijbss

Modelling Exchange Rate Volatility in MIST Countries
Assoc. Prof. Ebru Çağlayan., Ass. Prof.Turgut Ün., Tuğba Dayıoğlu.

ThisstudyexaminesthatmodellingMIST Countriesexchangerate volatilitywithAsymetric GARCH modelsand choosing the best forecasting volatility models. Then these models are used for out of sample forecasting. The best forecasting volatility models are choosed with choosing criteria. In our study we used monthly exchange rate against US dollar and investigated leverage effect and features of fat tailed over the period of between 1993.01 and 2012.12. The models are estimated the over the period between 1993.01and 2012.12 and models are evaluated for out of sample forecasting over the period between 2012.12 and 2013.03. The best forecasting models are choosed in these estimated models then the best forecasting models are estimated for three months until 2013.03. This forecastings are compared with the volatility for same real period and the model’s forecastings are evaluated .The asymmetric and leverage effects are seen in the model estimations results.

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