EconPapers    
Economics at your fingertips  
 

Modeling the Volatility of Exchange Rates: GARCH Models

Fahima Charef ()

Academic Journal of Economic Studies, 2017, vol. 3, issue 1, 39-47

Abstract: The modeling of the dynamics of the exchange rate at a long time remains a financial and economic research center. In our research we tried to study the relationship between the evolution of exchange rates and macroeconomic fundamentals. Our empirical study is based on a series of exchange rates for the Tunisian dinar against three currencies of major trading partners (dollar, euro, yen) and fundamentals (the terms of trade, the inflation rate, the interest rate differential), of monthly data, from jan 2000 to dec-2014, for the case of the Tunisia. We have adopted models of conditional heteroscedasticity (ARCH, GARCH, EGARCH, TGARCH). The results indicate that there is a partial relationship between the evolution of the Tunisian dinar exchange rates and macroeconomic variables.

Keywords: Exchange rate; fundamental macroeconomic variables; conditional heteroskedasticity models (search for similar items in EconPapers)
JEL-codes: O24 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.ajes.ro/wp-content/uploads/AJES_article_1_86.pdf (application/pdf)
http://www.ajes.ro/wp-content/uploads/AJES_article_1_86.pdf (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:khe:scajes:v:3:y:2017:i:1:p:39-47

Access Statistics for this article

More articles in Academic Journal of Economic Studies from Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest Contact information at EDIRC.
Series data maintained by Adi Sava ().

 
Page updated 2017-09-29
Handle: RePEc:khe:scajes:v:3:y:2017:i:1:p:39-47