INVESTIGATING THE EVOLUTION OF RON/EUR EXCHANGE RATE: THE CHOICE OF APPROPRIATE MODEL

Liviu-Stelian Begu (), Silvia Spataru () and Erika Marin ()
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Liviu-Stelian Begu: The Bucharest University of Economic Studies
Silvia Spataru: The Bucharest University of Economic Studies
Erika Marin: The Bucharest University of Economic Studies

Journal of Social and Economic Statistics, 2012, vol. 1, issue 2, 23-39

Abstract: The volatility of currency exchange rates can be considered as an useful measure of uncertainty about the economic environment of a country.The paper aims to investigate the evolution of the daily RON/EURO exchange rate between January 5th, 2009 and October 12, 2012. Several appropriate models are used and discussed, from ARCH, GARCH models to EGARCH and TGARCH models, trying to capture the main features of the analysed data. The periods of low and high volatility are discussed and analysed in correlation to the negative and positive shocks. The used models are able to model asymmetries in volatility forecasts allowing for asymmetric responses in volatility to the positive and negative shocks.

Keywords: exchange rate; volatility; GARCH models (search for similar items in EconPapers)
JEL-codes: C53 E17 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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