Continuous Modeling of Foreign Exchange Rate of USD versus TRY

Yakup Ari and Gazanfer Unal

MPRA Paper from University Library of Munich, Germany

Abstract: This study aims to construct continuous-time autoregressive (CAR) model and continuous-time GARCH (COGARCH) model from discrete time data of foreign exchange rate of United States Dollar (USD) versus Turkish Lira (TRY). These processes are solutions to stochastic differential equation Lévy-driven processes. We have shown that CAR(1) and COGARCH(1,1) processes are proper models to represent foreign exchange rate of USD and TRY for different periods of time February 2002- June 2010

Keywords: Continuous modeling; Continuous AR; COGARCH; USD/TRY (search for similar items in EconPapers)
JEL-codes: C01 C51 (search for similar items in EconPapers)
Date: 2010
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https://mpra.ub.uni-muenchen.de/91115/1/MPRA_paper_29241.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:29241

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