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ARCH models and an application on exchange rate volatility : ARCH and GARCH models

Kantar, Lokman - In: Handbook of research on emerging theories, models, and …, (pp. 287-300). 2021

currencies and financial assets of the countries. These sudden movements are called volatility. Sudden price changes in financial … accurate determination of volatility. Since the changes in asset prices are not linear, volatilities in prices are determined … the validity of these models through a Turkey application on exchange rate volatility. The findings of the study have …

Persistent link: https://www.econbiz.de/10012604258

Time-varying impacts of macroeconomic variables on stock market returns and volatility : evidence from Pakistan

Rashid, Abdul; Javed, Aamir; Jehan, Zainab; Iqbal, Uzma - In: Romanian journal of economic forecasting 25 (2022) 3, pp. 144-166

Persistent link: https://www.econbiz.de/10013414184

Exchange rate volatility in Nigeria : consistency, persistency & severity analyses

Adeoye, Babatunde W.; Atanda, Akinwande A. - In: CBN journal of applied statistics 2 (2011) 2, pp. 29-49

examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … were used to examine the degree or severity of volatility based on the first difference, standard deviation and coefficient … of deviation estimated volatility series for the nominal and real exchange rate of naira vis-a-vis the U.S dollar. The …

Persistent link: https://www.econbiz.de/10011477452

Testing for long memory in volatility in the Indian Forex market

Kumar, Anoop S. - In: Economic annals 59 (2014) 203, pp. 75-90

Persistent link: https://www.econbiz.de/10010510863

Impact of currency futures on volatility in exchange rate : a study of Indian currency market

Kumar, Ashish - In: Paradigm : the journal of Institute of Management Technology 19 (2015) 1, pp. 95-108

Persistent link: https://www.econbiz.de/10011761360

Revisiting the auto-regressive integrated moving average approach to modelling volatility using Bahrain all share index daily returns

Doblas, Mark P.; Natarajan, Vinodh Kesavaraj; Sankar, … - In: Middle East journal of management : MEJM 10 (2023) 6, pp. 619-636

Persistent link: https://www.econbiz.de/10014424552

Long memory or regime switching in volatility? : evidence from high-frequency returns on the U.S. stock indices

Gao, Guangyuan; Ho, Kin-Yip; Shi, Yanlin - In: Pacific-Basin finance journal 61 (2020), pp. 1-20

Persistent link: https://www.econbiz.de/10012494892

The volatility of Romanian exchange rate : a GARCH approach

Pelinescu, Elena; Diaconaşu, Delia-Elena - In: Review of economics & finance 5 (2015) 4, pp. 92-99

Persistent link: https://www.econbiz.de/10011411168

Non-parametric estimation of intraday spot volatility : disentangling Instantaneous Trend and Seasonality

Vatter, Thibault; Wu, Hau-tieng; Chavez-Demoulin, Valérie - In: Econometrics : open access journal 3 (2015) 4, pp. 864-887

's dynamic properties may lead to misestimation of the intraday spot volatility. …

Persistent link: https://www.econbiz.de/10011411344

Modeling the volatility of exchange rates: GARCH Models

Charef, Fahima - In: Academic journal of economic studies 3 (2017) 1, pp. 39-47

Persistent link: https://www.econbiz.de/10011603508