Author(s)

Geleta T. Mohammed^1*, Jane A. Aduda², Ananda O. Kube³

¹Mathematics Department, Pan African University (PAU), Nairobi, Kenya.
²Mathematics Department, Jomo Kenyatta University, Nairobi, Kenya.
³Mathematics Department, Kenyatta University, Nairobi, Kenya.

In this paper, a robust analysis of volatility forecasting of the GBP-ETB exchange rate was provided using weekly data spanning the period June 30, 2003-January 24, 2020. To our knowledge, this was the first study that focuses on the GBP-ETB exchange rate using high-frequency data and the Fuzzy-EGARCH-ANN econometric model. The research finds that the best performing model in terms of one-step ahead forecasts based on realized volatility computed from the underlying daily data series is the Fuzzy-EGARCH-ANN(1, 2, 2, 1) with students t-distribution.

Volatility Forecasting, ARCH, EGARCH, ANN, Semi-Parametric Non-Linear Fuzzy-EGARCH-ANN Model

Mohammed, G.T., Aduda, J.A. and Kube, A.O. (2020) Modeling Exchange Rate Volatility Dynamics of the Great Britain Pound to Ethiopian Birr Using the Semi-Parametric Non-Linear Fuzzy-EGARCH-ANN Model. Journal of Mathematical Finance, 10, 598-611. doi: 10.4236/jmf.2020.104035.