In this paper we use three euro exchange rates to test for the presence of volatility spillovers, common volatility … components and time-varying correlations using the multivariate-GARCH model and the common volatility methodology approach … proposed by Engle and Kozicki (1993). Our results suggest that the three currencies exhibit some degree of volatility spillover …

remark that the exchange rate returns between the US Dollar and the Euro show a highly volatility and validate the presence …, Asymmetry MEM, MEM, EGARCH, GJR GARCH, and GAS-GARCH Student t models) to examine the volatility of exchange rate returns … between the US Dollar and the Euro. So, the conditional heteroscedasticity models are used to capture the time …