2019, Volume 72 - Issue 2
RSS feed citation: At RePEc
Publication date: 02 May 2019
THE FELDSTEIN-HORIOKA PUZZLE AND THE GLOBAL FINANCIAL CRISIS: EVIDENCE FROM SOUTH AFRICA USING ASYMMETRIC COINTEGRATION ANALYSISRead the article
THE CAUSAL IMPACT OF STOCK MARKET DEVELOPMENT ON ECONOMIC DEVELOPMENT IN THE UAE: AN ASYMMETRIC APPROACHRead the article
THE IMPACT OF THE DIVIDEND TAX IN SOUTH AFRICA: A DYNAMIC CGE MODEL APPROACHRead the article
MODELING THE VOLATILITY OF EXCHANGE RATE CURRENCY USING GARCH MODELRead the article
AN EMPIRICAL ANALYSIS FOR THE US OF THE EFFECTS OF GOVERNMENT BUDGET DEFICITS ON THE EX ANTE REAL INTEREST RATE YIELDS ON THIRTY-YEAR AND TWENTY-YEAR TREASURY BONDSRead the article
Chaido DRITSAKI, Department of Accounting and Finance, Western Macedonia University of Applied Sciences, Kila, Kozani, Greece
In this paper, we study GARCH models with their modifications in order to study the volatility of Euro/US dollar exchange rate. Given that there are ARCH effects on exchange rate returns Euro/US dollar, we estimated ARCH(p), GARCH(p,q) and EGARCH(p,q) including these effects on mean equation. These models were estimated with maximum likelihood method using the following distributions: normal, t-student and generalized error distribution. The log likelihood function was maximized using Marquardt’s algorithm (1963) in order to search for optimal parameter of all models. The results showed that ARIMA(0,0,1)-EGARCH(1,1) model with generalized error distribution is the best in order to describe exchange rate returns and also captures the leverage effect. Finally, for the forecasting of ARIMA(0,0,1)-EGARCH(1,1) model both the dynamic and static procedure is used. The static procedure provides better results on the forecasting rather than the dynamic.
C22, C32, C53
Exchange Rate, Volatility, ARIMA-GARCH Models, Forecasting
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