DETECTING REGIME SWITCHES IN THE EUR/RON EXCHANGE RATE VOLATILITY

Ciprian Necula and Radu Alina-Nicoleta ()
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Radu Alina-Nicoleta: Academia de Studii Economice, FABBV

Annals of Faculty of Economics, 2009, vol. 3, issue 1, 610-615

Abstract: In the present study we develop and implement a short term exchange rate forecasting methodology using dynamic confidence intervals based on GARCH processes and we analyze whether this methodology can be used to model a regime switch in the volatility of

Keywords: conditional heteroskedasticity; regime switch; exchange rates; long memory (search for similar items in EconPapers)
JEL-codes: C01 C15 C51 C87 E44 E47 (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:ora:journl:v:3:y:2009:i:1:p:610-615

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