Neely, Christopher J.; Weller, Paul A. - In: Review (2002) May, pp. 43-54
This article investigates the use of genetic programming to forecast out-of-sample daily volatility in the foreign exchange market. Forecasting performance is evaluated relative to GARCH(1,1) and RiskMetrics‘ models for two currencies, the Deutsche mark and the Japanese yen. Although the GARCH...
