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Analýza volatility devizových kurzů vybraných ekonomik

Bednarik, Radek - Volkswirtschaftliche Fakultät, … - 2008

This paper is focused on the historical development of selected exchange rates' volatility, that is: AUD, CAD, DEM, DKK, EUR, FRF, GBP, JPY, SEK and CHF against USD. The paper aims to show that relatively large increment of exchange markets' volatility is nothing special in the historical...

Persistent link: https://www.econbiz.de/10005014733

Modelling and forecasting the volatility of the portuguese stock index PSI-20

Caiado, Jorge - Volkswirtschaftliche Fakultät, … - 2004

Portuguese Stock Index PSI-20. By using simple GARCH, GARCH-M, Exponential GARCH (EGARCH) and Threshold ARCH (TARCH) models, we …

Persistent link: https://www.econbiz.de/10005790340

Modelling South African Currency Crises as Structural Changes in the Volatility of the Rand

Duncan, Andrew S; Liu, Guangling D - Economic Research Southern Africa (ERSA) - 2009

variance are incorporated in a GARCH modelling framework. The analysis indicates that previously identified crisis periods in …

Persistent link: https://www.econbiz.de/10008563324

Effects of Volatility of Exports in the Philippines and Thailand

Sinha, Dipendra - Volkswirtschaftliche Fakultät, … - 2007

, there have been no studies which have used the GARCH methodology to study export volatility. This paper fills the void. It …

Persistent link: https://www.econbiz.de/10005835772

Does Volatility in Government Borrowing Leads to Higher Inflation? Evidence from Pakistan

Haider, Adnan; Khan, Safdar Ullah - Volkswirtschaftliche Fakultät, … - 2007

Pakistan. This paper utilizes Generalized Auto Regressive Conditional Hetroskedasticity (GARCH) model to estimate volatility in …

Persistent link: https://www.econbiz.de/10005105921

Modelling Stock Return Volatility Dynamics in Selected African Markets

King, Daniel; Botha, Ferdi - Economic Research Southern Africa (ERSA) - 2014

single-state (G)ARCH models, within and across selected African markets for the period 2002-2012. In the univariate portion … portfolios. Accounting for structural breaks in the conditional variance process, conventional GARCH effects remain important in … capturing heteroscedasticity. However, those univariate models including a GARCH term perform comparatively poorly when used for …

Persistent link: https://www.econbiz.de/10010734905

Exchange Rate Volatility and Non-Traditional Exports Performance: Zambia, 1965–1999

Musonda, Anthony - Volkswirtschaftliche Fakultät, … - 2008

heteroscedasticity (GARCH) measure of real exchange rate volatility, the findings show that exchange rate volatility depresses exports in …

Persistent link: https://www.econbiz.de/10009004209

Volatility Transmission of Overnight Rate along the Yield Curve in Pakistan

Mahmood, Asif - Volkswirtschaftliche Fakultät, … - 2014

This paper presented the empirical results of the volatility transmission of overnight rate along the yield curve in case of Pakistan. The results indicate that the volatility transmission of overnight repo rate is higher at the shorter end of the yield curve while lower at the longer end. These...

Persistent link: https://www.econbiz.de/10011107405