Analýza volatility devizových kurzů vybraných ekonomik

The Analysis of Volatility of Selected Countries' Exchange Rates

Radek Bednarik ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper is focused on the historical development of selected exchange rates' volatility, that is: AUD, CAD, DEM, DKK, EUR, FRF, GBP, JPY, SEK and CHF against USD. The paper aims to show that relatively large increment of exchange markets' volatility is nothing special in the historical context considering the lenght and the extent.

Keywords: exchange; rate; volatility; ARCH; GARCH (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Date: 2008-12-20
New Economics Papers: this item is included in nep-ifn
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:15046

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