Mabrouk, Samir; Aloui, Chaker - In: International Journal of Monetary Economics and Finance 4 (2011) 3, pp. 254-278
In this paper, we focus on three daily exchange rate returns dynamics. Indeed, we have assessed five GARCH-class models under three alternative distributions. Our findings confirm that the skewed Student-t FIAPARCH model performs very well. Then, we have computed short and long Value-at-Risk and...