Modeling the exchange rate of the euro against the dollar using the ARCH/GARCH models
The analysis of time series with conditional heteroskedasticity (changeable time variability, conditional variance instability, the phenomenon called volatility) is the main task of ARCH and GARCH models. The aim of these models is to calculate some of the volatility indicators needed for financial...
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| Format: | Article |
| Language: | English |
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Association of Serbian Banks
2016-01-01
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| Series: | Bankarstvo |
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| Online Access: | http://scindeks-clanci.ceon.rs/data/pdf/1451-4354/2016/1451-43541604020K.pdf |