Browsing by Author "Aniciete, Elmar John O."

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    Assessing the predictive capability of Google search volumes on Philippine peso exchange rates
    (2016-06) Aniciete, Elmar John O. ; Barchini, Christine Anne M. ; Debuque-Gonzales, Margarita
    The onset of the computer age and developments in information technology have changed the way people gather information. Web search engines such as Google and Yahoo! provide efficient platforms for acquiring relevant data. Web search query volumes are now being made available through websites such as Google Trends. This study aims to utilize time series data on weekly Google searches in order to determine whether the number of searches for selected keywords related to the foreign exchange market is a significant indicator of movements in the said market. The study applies a two-step approach consisting of GARCH (1,1) and OLS regression. Results show that the GARCH (1,1) conditional variance is not the sole and unbiased predictor of foreign exchange rate volatility. Additionally, tests show that geopolitical search terms give better predictions of foreign exchange rate volatility beyond the GARCH (1,1) model as compared to economic-related keywords based on worldwide Google search volumes, while a combination of geopolitical- and economic-related keywords give the best predictions for Philippine search volumes.