Modelling the High Frequency Exchange Rate in Romania with FIGARCH
نویسندگان
چکیده
منابع مشابه
Modelling exchange rate volatility
Two types of statistical models are empirically applied to test the pattern of volatility in the exchange rate markets. One considers the autoregressive models and tests the random walk hypothesis. The other considers the conditional variance process and tests the hypothesis of chaotic dynamics. Empirical results mostly support the random walk hypothesis and also the existence of Lorenz-type ch...
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The purpose of this study is to find an accurate estimate of the exchange rate-CPI relationship in Iran over the past three decades. The results of the Granger causality test in the frequency domain demonstrate a strong causation from the exchange rate to CPI especially in the long run. The results of the wavelet analysis show that in the currency crisis periods, the exchange rate-CPI correlati...
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Estimating High Frequency Foreign Exchange Rate Volatility with Nonparametric ARCH Models
High frequency foreign exchange rate (HFFX) series are analyzed on an operational time scale using models of the ARCH class. Comparison of the estimated conditional variances focuses on the asymmetry and persistence issue. Estimation results for para-metric models connrm standard results for HFFX series, namely high persistence and no signiicance of the asymmetry coeecient in an EGARCH model. T...
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We investigate the impact of the European Central Bank’s monetary policy communication on the level and volatility of the EUR-US Dollar exchange rate employing an AR-FIGARCH specification. Using high-frequency data we estimate the individual and complementary effects of the release of the interest rate decision, the ECB’s introductory statement and the question and answer session. Surprise inte...
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ژورنال
عنوان ژورنال: Procedia Economics and Finance
سال: 2014
ISSN: 2212-5671
DOI: 10.1016/s2212-5671(14)00647-9