TESTING THE PERFORMANCE OF GARCH AND EGARCH MODELS IN THE STUDY OF FOREIGN EXCHANGE RATES OF PUBLIC SERVANTS AND OF THE POPULATION
Radu Lupu (),
Adrian Cantemir Calin and
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Carmen Albu: National Institute of Economic Research,Romanian Academy
HOLISTICA Journal of Business and Public Administration, 2014, vol. 5, issue 1, 54-63
After the demise of the Bretton Woods accord, the dynamics of the exchange rates has become a fundamental topic in the economic analysis and forecasting. The genesis of the ARCH – GARCH models offered a powerful tool in the assessment of exchange rate volatilities. We use the GARCH and EGARCH models and test their efficiency on 44 currency pairs. The results indicate the former’s superiority in isolating exchange rate volatility.
Keywords: foreign exchange rates; garch models; egargh models (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:urn:urnste:v:5:y:2014:i:1:p:54-63
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