The exchange rate volatility in the Central and Eastern European Countries

Bogdan Dumitrescu and Silvia Maria Roșca
Additional contact information
Silvia Maria Roșca: Bucharest University of Economic Studies, Romania

Theoretical and Applied Economics, 2015, vol. XXII, issue 2(603), Summer, 189-198

Abstract: The present research aims to model the volatility of the currencies from Romania, the Czech Republic, Hungary and Poland in the period 2005-2014, by identifying a robust econometric model, as well as to determine the empirical values of the long term volatility and expected volatility at the end of the analyzed period. The results obtained have confirmed the validity of the GARCH (1,1) model and the unconditional volatility expressed in annual terms is relatively close for all four currencies, respectively between 8% - 10.6%. However, the values expected for the end of 2014 show significant deviations from the long term volatility, with the largest deviation registered in the case of the RON.

Keywords: volatility; heteroskedasticity; GARCH models; mean reversion. (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://store.ectap.ro/articole/1094.pdf (application/pdf)
http://www.ectap.ro/articol.php?id=1094&rid=119 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:xxii:y:2015:i:2(603):p:189-198

Access Statistics for this article

Theoretical and Applied Economics is currently edited by Mircea Dinu

More articles in Theoretical and Applied Economics from Asociatia Generala a Economistilor din Romania / Editura Economica Contact information at EDIRC.
Bibliographic data for series maintained by Mircea Dinu ().