Modeling Euribor Rates Volatility: Application of the GARCH Model

Euribor (Euro Interbank Offered Rate) is considered to be the most important base rate for all types of financial products like interest swaps, futures, saving accounts and mortgages. rates turned negative first time in January 2015 have been ever since. In recent years, several European central banks imposed on commercial banks, which only way stimulate their nations' economies. Under these circumstances, purpose this study estimate optimal equilibrium are still increasing constantly. This fact raises doubts about stability many countries effect monetary policy stimulating economic growth countries. has analyzed volatility related daily series 2015-2021. Advanced econometric methods applied GARCH models forecasting long-run equilibrium. The model weekly monthly maturity identified; however, larger ARCH(p) lag-variance(q) value we test, poorer performance obtained is. Practical implications ought taken into consideration by banking sector other institutions.