Measuring the Effect of Exchange Rate Movements on Stock Market Returns Volatility : GARCH Model = قياس أثر تغيرات أسعار الصرف على تقلبات عوائد أسواق الأسهم باستخدام نموذج GARCH
نویسندگان
چکیده
منابع مشابه
Exchange rate volatility and its effect on stock market volatility
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Assessing the Exchange Rate Fluctuation on Tehrans Stock Market Price: A GARCH Application
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The present research aims to evaluate impacts of crude oil price return index, Bloomberg Petroleum Index and Bloomberg energy index on stock market returns of 121 companies listed in Tehran stock exchange in a 10 years' period from early 2006 to April 2016. First, explanatory variables were aligned with petroleum products index mostly due to application of dollar data. Subsequently, to check va...
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The discrete time ARCH/GARCH model of Engle and Bollarslev has been enormously influential and successful in the modelling of financial data. Recently, Klüppelberg, Lindner, andMaller (2004) introduced the so-called “COGARCH”model as a continuoustime analogue to the GARCH model. Many aspects of the COGARCH have been investigated, including various of its theoretical properties, its relations to...
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ژورنال
عنوان ژورنال: مجلة الباحث
سال: 2017
ISSN: 1112-3613
DOI: 10.12816/0045390