Modelling the volatility of currency exchange rate using GARCH model
This paper attempts to study GARCH models with their modifications, in capturing the volatility of the exchange rates. The parameters of these models are estimated using the maximum likelihood method. The performance of the within-sample estimation is diagnosed using several goodness-of-fit statist...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Putra Malaysia Press
2002
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| Online Access: | http://psasir.upm.edu.my/id/eprint/3352/1/Modelling_the_Volatility_of_Currency_Exchange_Rate_Using_GARCH_Model.pdf http://psasir.upm.edu.my/id/eprint/3352/ http://www.pertanika.upm.edu.my/view_archives.php?journal=JSSH-10-2-9 |
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