An empirical analysis of Euro Hungarian Forint exchange rate volatility using GARCH
The paper aims to analyse and forecast Euro Hungarian Forint exchange rate volatility with the use of generalised autoregressive conditional heteroscedasticity GARCH-type models over the period from September 30, 2010 to January 02, 2017. This model is the extension of the ARCH process with various...
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| Dokumentumtípus: | Könyv része |
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JATEPress
Szeged
2018
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| Sorozat: | Challenges in national and international economic policies
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| Kulcsszavak: | Gazdaságpolitika - nemzetközi - 21. sz. |
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| Online Access: | http://acta.bibl.u-szeged.hu/57471 |
| Tartalmi kivonat: | The paper aims to analyse and forecast Euro Hungarian Forint exchange rate volatility with the use of generalised autoregressive conditional heteroscedasticity GARCH-type models over the period from September 30, 2010 to January 02, 2017. This model is the extension of the ARCH process with various features to explain the obvious characteristics of financial time series such as asymmetric and leverage effect. In applying EUR/HUF with this model, we performed both estimation and forecast. |
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| Terjedelem/Fizikai jellemzők: | 57-67 |
| ISBN: | 978-963-315-364-2 |