Exchange Rate Covariance Modelling by Means of Minimum and Maximum Prices (Modelowanie kowariancji kursow walutowych z zastosowaniem cen minimalnych i maksymalnych)

Piotr Fiszeder ()

Problemy Zarzadzania, 2018, vol. 16, issue 76, 37-49

Abstract: The article presents a proposal for exchange rate modelling by means of minimum and maximum prices that enables a better description of dependencies in the foreign exchange market. Forecasts of return rate covariance based on the proposed multiple-equation GARCH model are more accurate than those produced solely on the basis of closing prices. Multiple-equation GARCH models are among the most popular models describing financial time series. The proposed model does not require additional data because daily minimum and maximum prices are generally available together with closing prices, which is important from the point of view of the application of the model in the Forex market..

Keywords: exchange rates; forecasting; minimum and maximum prices; covariance (search for similar items in EconPapers)
JEL-codes: G0 G1 G17 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:sgm:pzwzuw:v:16:i:76:y:2018:p:37-49

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