ANALYSIS AND FORECASTING THE VOLATILITY OF EURO – DOLLAR EXCHANGE RATE
The study on volatility and asymmetry of the exchange rate is applied to the Euro/USD relation. Starting in U.S.A., the financial and economic crisis influenced European Union with a certain delay. On the other hand, this years´ problems in Eurozone are paralleled by rising American economy. That is...
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| Format: | Article |
| Language: | English |
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Croatian Operational Research Society
2010-12-01
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| Series: | Croatian Operational Research Review |
| Subjects: | |
| Online Access: | http://hrcak.srce.hr/index.php?show=clanak&id_clanak_jezik=139836 |
| _version_ | 1811276343487234048 |
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| author | Václava Pánková Eva Cihelková Roman Hušek |
| author_facet | Václava Pánková Eva Cihelková Roman Hušek |
| author_sort | Václava Pánková |
| collection | DOAJ |
| description | The study on volatility and asymmetry of the exchange rate is applied to the Euro/USD relation. Starting in U.S.A., the financial and economic crisis influenced European Union with a certain delay. On the other hand, this years´ problems in Eurozone are paralleled by rising American economy. That is why we can expect both currencies to develop in different ways. In general, the depreciation deviation of exchange rate can lead to a higher volatility than the appreciation deviation, what implicates asymmetric effects. The uncertainty of exchange rate has a tendency to be inconstant in the time-varying cases, so it has a feature of conditional heteroscedasticity. That is why the models from the ARCH family are employed to study whether the asymmetry is present in the data in question; source: ECB. The Engle – Ng tests for asymmetry in volatility are used to determine whether an asymmetric model is required as adequate. A forecast will be given including an ex post comparison as well as an ex ante prognosis. Financial support from the GA CR project 402/09/0273 and the Research Plan MSM 6138439909 is appreciated. |
| first_indexed | 2024-04-12T23:55:58Z |
| format | Article |
| id | doaj.art-9788e2bd7d06496887b01b5fae80ab4f |
| institution | Directory Open Access Journal |
| issn | 1848-0225 1848-9931 |
| language | English |
| last_indexed | 2024-04-12T23:55:58Z |
| publishDate | 2010-12-01 |
| publisher | Croatian Operational Research Society |
| record_format | Article |
| series | Croatian Operational Research Review |
| spelling | doaj.art-9788e2bd7d06496887b01b5fae80ab4f2022-12-22T03:11:31ZengCroatian Operational Research SocietyCroatian Operational Research Review1848-02251848-99312010-12-0111221226ANALYSIS AND FORECASTING THE VOLATILITY OF EURO – DOLLAR EXCHANGE RATEVáclava Pánková0Eva Cihelková1Roman Hušek2Faculty of Informatics and Statistics, University of Economics, Prague, Czech RepublicFaculty of International Relations, University of Economics, Prague, Czech RepublicFaculty of Informatics and Statistics, University of Economics, Prague, Czech RepublicThe study on volatility and asymmetry of the exchange rate is applied to the Euro/USD relation. Starting in U.S.A., the financial and economic crisis influenced European Union with a certain delay. On the other hand, this years´ problems in Eurozone are paralleled by rising American economy. That is why we can expect both currencies to develop in different ways. In general, the depreciation deviation of exchange rate can lead to a higher volatility than the appreciation deviation, what implicates asymmetric effects. The uncertainty of exchange rate has a tendency to be inconstant in the time-varying cases, so it has a feature of conditional heteroscedasticity. That is why the models from the ARCH family are employed to study whether the asymmetry is present in the data in question; source: ECB. The Engle – Ng tests for asymmetry in volatility are used to determine whether an asymmetric model is required as adequate. A forecast will be given including an ex post comparison as well as an ex ante prognosis. Financial support from the GA CR project 402/09/0273 and the Research Plan MSM 6138439909 is appreciated.http://hrcak.srce.hr/index.php?show=clanak&id_clanak_jezik=139836Asymmetric volatilityEGARCH modelNews impact curve – NIC |
| spellingShingle | Václava Pánková Eva Cihelková Roman Hušek ANALYSIS AND FORECASTING THE VOLATILITY OF EURO – DOLLAR EXCHANGE RATE Croatian Operational Research Review Asymmetric volatility EGARCH model News impact curve – NIC |
| title | ANALYSIS AND FORECASTING THE VOLATILITY OF EURO – DOLLAR EXCHANGE RATE |
| title_full | ANALYSIS AND FORECASTING THE VOLATILITY OF EURO – DOLLAR EXCHANGE RATE |
| title_fullStr | ANALYSIS AND FORECASTING THE VOLATILITY OF EURO – DOLLAR EXCHANGE RATE |
| title_full_unstemmed | ANALYSIS AND FORECASTING THE VOLATILITY OF EURO – DOLLAR EXCHANGE RATE |
| title_short | ANALYSIS AND FORECASTING THE VOLATILITY OF EURO – DOLLAR EXCHANGE RATE |
| title_sort | analysis and forecasting the volatility of euro dollar exchange rate |
| topic | Asymmetric volatility EGARCH model News impact curve – NIC |
| url | http://hrcak.srce.hr/index.php?show=clanak&id_clanak_jezik=139836 |
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