Modelling and Forecasting Volatility of Exchange Rates
Neelesh Davedeen
Broschiertes Buch

Modelling and Forecasting Volatility of Exchange Rates

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This book investigates the volatility in the foreign exchange rate (forex) market using USD/MUR and EUR/MUR return series for the past ten years from October 2004 to October 2014. Both USD and EUR series exhibit volatility clustering and fat-tailed behaviours as shown by the results of the preliminary analysis. Furthermore, the presence of ARCH effects (conditional heteroscedasticity) in the residuals of both series validates the application of GARCH-type models for modelling the volatility of USD and EUR return series. Hence, the modelling proceeded with the use of the symmetric GARCH (1, 1) ...