{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,8]],"date-time":"2026-09-08T00:39:16Z","timestamp":1788827956377,"version":"build-2803163510"},"reference-count":14,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2024,8,6]],"date-time":"2024-08-06T00:00:00Z","timestamp":1722902400000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2024,11]]},"abstract":"<jats:title>Summary<\/jats:title><jats:p>We examine the empirical significance of structural changes concerning generalized autoregressive conditional heteroskedasticity (GARCH) models of exchange rate volatility using out\u2010of\u2010sample tests by replicating and carrying out robustness checks on the volatility forecasting study by Rapach and Strauss (Journal of Applied Econometrics, 2008; 23, 65\u201390). We employ the same econometric models but incorporate recent US dollar daily exchange rates data while also using different software, a relatively recent forecast accuracy test and loss metrics. Our objective is to attain scientific replication in a broad sense. Our analysis verifies and broadly aligns with the results obtained in the original study. In particular, we find strong evidence that the models incorporating structural breaks demonstrate superior performance across all loss functions and forecast horizons compared with those models that ignore instabilities.<\/jats:p>","DOI":"10.1002\/jae.3091","type":"journal-article","created":{"date-parts":[[2024,8,7]],"date-time":"2024-08-07T05:30:17Z","timestamp":1723008617000},"page":"1403-1407","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":20,"title":["Structural breaks and GARCH models of exchange rate volatility: Re\u2010examination and extension"],"prefix":"10.1002","volume":"39","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-5988-5040","authenticated-orcid":false,"given":"Akram Shavkatovich","family":"Hasanov","sequence":"first","affiliation":[{"name":"Department of Econometrics and Business Statistics Monash University Malaysia  Subang Jaya Malaysia"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Robert","family":"Brooks","sequence":"additional","affiliation":[{"name":"Department of Econometrics and Business Statistics Monash University Caulfield Campus  Caulfield East Victoria Australia"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Sirojiddin","family":"Abrorov","sequence":"additional","affiliation":[{"name":"Faculty of Finance and Accounting Tashkent State University of Economics  Tashkent Uzbekistan"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Aktam Usmanovich","family":"Burkhanov","sequence":"additional","affiliation":[{"name":"Faculty of Finance and Accounting Tashkent State University of Economics  Tashkent Uzbekistan"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2024,8,6]]},"reference":[{"key":"e_1_2_6_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2742"},{"key":"e_1_2_6_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2006.00718.x"},{"key":"e_1_2_6_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2951"},{"key":"e_1_2_6_5_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500105000000063"},{"key":"e_1_2_6_6_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA5771"},{"key":"e_1_2_6_7_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2389"},{"key":"e_1_2_6_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2017.09.005"},{"key":"e_1_2_6_9_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.1990.10509794"},{"key":"e_1_2_6_10_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1248"},{"key":"e_1_2_6_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/jofi.12499"},{"key":"e_1_2_6_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.respol.2018.07.019"},{"key":"e_1_2_6_13_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.976"},{"key":"e_1_2_6_14_1","volume-title":"RiskMetrics: Technical document","author":"RiskMetrics Group","year":"1996"},{"key":"e_1_2_6_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2005.00615.x"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.3091","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,12,6]],"date-time":"2024-12-06T03:10:04Z","timestamp":1733454604000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.3091"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2024,8,6]]},"references-count":14,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2024,11]]}},"alternative-id":["10.1002\/jae.3091"],"URL":"https:\/\/doi.org\/10.1002\/jae.3091","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2024,8,6]]},"assertion":[{"value":"2023-09-08","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-07-09","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-08-06","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}