Modeling exchange rate volatility: application of GARCH models with a Normal Tempered Stable distribution
The aim of this paper is to examine exchange rate volatility using GARCH models with a new innovation distribution, the Normal Tempered Stable. We estimated daily exchange rate volatility using different distributions (Normal, Student, NIG) in order to specify the performed model. In addition, a for...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2022-05-01
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| Series: | Quantitative Finance and Economics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/QFE.2022009?viewType=HTML |