AN ARCH MODEL OF ROMANIAN EXCHANGE RATE

Daniela Zapodeanu and Mihail Ioan Cociuba
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Daniela Zapodeanu: University of Oradea
Mihail Ioan Cociuba: University of Oradea

Theoretical and Applied Economics, 2011, vol. 5(558)(supplement), issue 5(558)(supplement), 710-716

Abstract: After the accession to the European Union our country has experienced massive capital inflows that have affected the evolution of the exchange rate. Looking at the exchange rate we observe a break in the national currency appreciation due to the economic crisis, the series are heteroskedastic and asymmetric. For the modeling of exchange rate series we use a time series model that includes component heteroskedasticitate, ARCH model. with normal distribution.

Keywords: exchange rate; ARCH; heteroskedasticity; economic crises. (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:5(558)(supplement):y:2011:i:5(558)(supplement):p:710-716

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