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Forecasting
S/F/90. Forecasting Russian Interbank Interest Rates using ARIMA, GARCH, EGARCH and the cross product models
- WORDS:
- 4700
- DATE:
- 2006
- PRICE:
- 49.99 GBP
This paper develops ARIMA, GARCH, EGARCH and the cross product models to forecast Russian Interbank 30 day and 90 day interest rates. The relative performance of the first differenced for stationarity purposes interest rates is then compared using a short-term out of sample forecast. On the basis of forecasting performance ARMA(1,1)-GARCH(1,2) for the 30 day maturity interest rate and AR(1)-GARCH(0,1) for the 90 day maturity are selected.
KEYWORDS: ARIMA, GARCH, forecasting, interest rates,
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Thank you for the fabulous service and a great paper to help with the interview!Abbey
