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Asymmetric and Symmetric Volatility Models for Exchange Rates in India – The Impact of the Net Purchase of US Dollars by the Central Bank and Net Inflows by Foreign Institutional I...

Shah, Anand - 2017

symmetric (sGARCH) and the asymmetric (GJR-GARCH and EGARCH) volatility models with the normal, the student t and the skewed … with the calendar effect dummies in the volatility model are not parsimonious. The net purchase/ sale of USD in a given …

Persistent link: https://www.econbiz.de/10012962908