Short-Term Dependencies between the Volatility of Currency, Money and Capital Markets: The Case of Poland
Janusz Brzeszczynski () and
Robert Kelm ()
No 409, CERT Discussion Papers from Centre for Economic Reform and Transformation, Heriot Watt University
The paper presents GARCH models for the Euro-Polish zloty and US dollar-Polish zloty currency rates. It applies the approach within which both the conditional variance function and the mean equation of the ARCH class model are expanded simultaneously. The basic regression equation incorporates causal dependencies between currency prices and the main characteristics of domestic and international currency, money and capital markets. The paper provides an insight into the currency market microstructure as the presented investigation takes into account the intradaily features of the market. Model selection and performance has been evaluated by the use of direction quality measures.
Keywords: currency market; GARCH models; direction quality measures; emerging markets (search for similar items in EconPapers)
JEL-codes: G15 C51 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ifn, nep-rmg and nep-tra
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Persistent link: https://EconPapers.repec.org/RePEc:hwe:certdp:0409
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