Naslov
Modeling EUR/HRK Exchange Rate Volatility using GARCH Models

Autori
Bošnjak, Mile

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
34th International Conference on Organizational Science Development March 25th – 27th 2015, Portorož, Slovenia / - , 2015

Skup
34th International Conference on Organizational Science Development March 25th – 27th 2015, Portorož, Slovenia

Mjesto i datum
Portorož, Slovenija, 25.03.2015. - 27.03.2015

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
GARCH model; Heteroscedasticity; Exchange rate volatility; Croatia.

Sažetak
Modeling and forecasting exchange rate volatility has important implications in a range of areas in macroeconomics and finance. A number of models have been developed in empirical finance literature to investigate this volatility across different regions and countries. Well known and frequently applied models to estimate exchange rate volatility are the autoregressive conditional heteroscedastic (ARCH) model advanced by Engle (1982) and generalized (GARCH) model developed independently by Bollerslev (1986) and Taylor (1986). This paper examines the performance of several ARCH models for EUR against the HRK on daily and monthly data sets within time period from 2000 to 2014. Evaluating the models through standard information criteria showed that GARCH (1, 1) is the best fitted model for EUR/HRK daily return volatility. In accordance to the estimated models there is no empirical evidence that negative and positive shocks imply a different next period volatility of daily EUR/HRK exchange rate return.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA