In the world economy and financial markets, exchange rates fluctuate continuously over time. This paper assesses effects of rate fluctuations on return volatility Disney's stock. A VAR model an ARMA-GARCH were developed to analyze changes in stock prices terms value volatility. finds that have a limited impact Disney no significant effect daily its returns. However, because appreciation U.S. do...

Stochastic volatility (SV) models play an important role in finance. Under these models, the volatility of an asset follows an individual stochastic process. In contrast to the GARCH model, the volatility process in the SV model is autonomous with no need to refer to the asset price. It is often assumed that the log-volatility process follows a standard ARMA process in an SV model. However, emp...

Testing for white noise has been well studied in the literature of econometrics and statistics. For most of the proposed test statistics, such as the well-known Box–Pierce test statistic with fixed lag truncation number, the asymptotic null distributions are obtained under independent and identically distributed assumptions and may not be valid for dependent white noise. Because of recent popul...

We propose autoregressive moving average (ARMA) and generalized autoregressive conditional heteroscedastic (GARCH) models driven by Asymmetric Laplace (AL) noise. The AL distribution plays, in the geometric-stable class, the analogous role played by the normal in the alpha-stable class, and has shown promise in the modeling of certain types of financial and engineering data. In the case of an A...

Risk estimation is of great importance in financial risk management. In this study, the exchange rate portfolio performed via stochastic copula approach. This model-based latent process has a parameter that changes over time and thus can model dependency structure between variables comprehensive dynamic way. First, marginals returns are handled with ARMA-GARCH-type models. Then, modeled Finally...