Modelling Volatility of the BDT/USD Exchange Rate with GARCH Model
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...
متن کاملThe Analysis of Real Exchange Rate Volatility and Stock Exchange Return with PANEL-GARCH Approach (Case Study: D8 Countries)
S tock returns of companies listed on the stock exchange is one of the most important criteria in assessing the macroeconomic. This study investigates the effect of exchange rate Volatility on the stock exchange Returns of D8 countries. It takes monthly data during the period (2008:1-2015:6) constituting 90 observations. At first we used Panel-GARCH model to estimate Exchange Rate Vo...
متن کاملA semiparametric GARCH model for foreign exchange volatility
A semiparametric extension of the GJR model (Glosten et al., 1993. Journal of Finance 48, 1779–1801) is proposed for the volatility of foreign exchange returns. Under reasonable assumptions, asymptotic normal distributions are established for the estimators of the model, corroborated by simulation results. When applied to the Deutsche Mark/US Dollar and the Deutsche Mark/British Pound daily ret...
متن کاملModelling and Investigating the Differences and Similarities in the Volatility of the Stocks Return in Tehran Stock Exchange Using the Hybrid Model PANEL-GARCH
Efficient financial markets with high degree of transparency do not substantiate the hypothesis that there are differences in the volatility of return. Generally, there are factors rejecting any perfect similarity in the volatility of return in the emerging stock markets, as previous studies in Iran have confirmed the complete difference. On the other hand, the hybrid model PANEL-GARCH has the ...
متن کاملNormal Mixture Garch(1,1): Applications to Exchange Rate Modelling
Some recent specifications for GARCH error processes explicitly assume a conditional variance that is generated by a mixture of normal components, albeit with some parameter restrictions. This paper analyses the general normal mixture GARCH(1,1) model which can capture time variation in both conditional skewness and kurtosis. A main focus of the paper is to provide evidence that, for modelling ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Economics and Finance
سال: 2012
ISSN: 1916-9728,1916-971X
DOI: 10.5539/ijef.v4n11p193