نتایج جستجو برای: exchange rates and volatility
تعداد نتایج: 16879135 فیلتر نتایج به سال:
In this article the relationship between market return and volatility is examined by applying out- of- sample methodology and ARCH (M) class models in the Tehran Stock Exchange (TSE) and international stock exchanges. The results are inconsistent with portfolio theory implications in NASDAQ, ISE and TSE. However I found only negative relationship between unexpected volatility and monthly return...
This paper uses the data of Japan’s and Korea’s exchange rates to discuss the model construction and their associations between Japan’s and Korea’s terms exchange rate markets. The empirical results show that the mutual affects of Japan’s and Korea’s exchange rate markets may construct in bivariate IGARCH (1, 1) model with a DCC. The empirical result also shows that the terms exchange rate mark...
In this study, we model the long-term and dynamic relationships between spot oil and exchange rates and gas prices by applying the Markov switching vector self-regression model in three regional gas markets in USA, Europe and Asia. Price behavior is analyzed using Bayesian estimation to take into account the transition from an existing relationship and the delayed and recurring effects of pric...
The relative value of currencies varies considerably over time. These fluctuations bring uncertainty to international traders. As a result, the volatility in exchange rate movements may influence the volume and the price of traded commodities. The volatility of exchange rates was measured by the variance of residuals in a GARCH(1,1) model of the exchange rate. We estimated the effect of this ex...
In this paper, we use hourly exchange rate data for selected ASEAN countries (Singapore, Indonesia, Malaysia, Thailand and the Philippines) to test hypothesis that own shocks dominate volatility. We find strong evidence volatility explains between 64% 86% of their movements. These results do not change when include Chinese CNY currency in analysis. Moreover, explain 36%, 24% 23% movements Thail...
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