engleski

Modelling Exchange Rate Volatility in Croatia

There is no accepted model of firm behaviour subject to risk arising from fluctuations in exchange rates and other variables. The consensus on the appropriate method for measuring exchange rate volatility does not exist. A wide variety of methods that could be used to generate predicted values of exchange rate uncertainty have been proposed. Firms engaged in trade would make an effort to develop such forecasts. We employed GARCH type models and used data on the percentage change of daily exchange rate between Croatian kuna and US dollar.

volatility models; exchange rate volatility; GARCH

Zbornik je indeksiran u ISIProceedings Base.