The financial liberalization that began in the last quarter of the twentieth century caused sudden movements in the currencies and financial assets of the countries. These sudden movements are called volatility. Sudden price changes in financial assets made it difficult to predict the future and...

The main goal of this research is to construct and assess forecast intervals for monthly US/EURO foreign exchange rate. The point forecasts used to build the intervals are based on a vector autoregression (VAR model) and on a Bayesian VAR model for data starting with the first month of 1999. The...