The modelling and forecasting of exchange rates and their volatility has important implications for many issues in economics and finance. This paper compares the ability of Autoregressive Conditional Heteroscedasticity, Autoregressive and Mean models to forecast the magnitude of change in 19...

The central focus of this paper is to provide an initial exploratory examination of ex post time-varying beta estimation, modeling and asset pricing tests. In particular, these issues are investigated using a sample of monthly data on Australian industry portfolios over the nineteen-year period...