Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH Models: Foreign Exchange Market Forecast

This article discusses a comparison of the GARCH and EGARCH conditional variance methods, with respect to Fuzzy Gaussian EGARCH. The returns four exchange rates were forecasted at daily periodicity from January 2015 November 2022 out-of-sample, 2019, December 2022. results indicate that models better estimate volatility behaviour market series compared traditional techniques. Therefore, recommendation is other high variables verify efficiency fuzzy techniques, however, main limitation it not possible apply econometric tests for techniques because parameters are estimated logarithm maximum likelihood. estimation theory originality proposal. In conclusion, methodologies have less error in forecasting in-sample out-of-sample rates.