Modelling exchange rate volatility using GARCH models
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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ژورنال
عنوان ژورنال: Gazi Journal of Economics and Business
سال: 2021
ISSN: 2548-0162
DOI: 10.30855/gjeb.2021.7.1.001