DETECTING REGIME SWITCHES IN THE EUR/RON EXCHANGE RATE VOLATILITY
In the present study we develop and implement a short term exchange rate forecasting methodology using dynamic confidence intervals based on GARCH processes and we analyze whether this methodology can be used to model a regime switch in the volatility of
| Main Authors: | , |
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| Format: | Article |
| Language: | deu |
| Published: |
University of Oradea
2009-05-01
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| Series: | Annals of the University of Oradea: Economic Science |
| Subjects: | |
| Online Access: | http://steconomice.uoradea.ro/anale/volume/2009/v3-finances-banks-and-accountancy/103.pdf |