The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic Approach to Investigating the Foreign Exchange Forward Premium Volatility
This paper empirically investigates the volatility dynamics of the EUR/USD forward premium via GARCH-M (1,1) and GJR-GARCH(1,1) and GJR-GARCH(1,1)-M models. Our empirical analysis is based on daily data related to the EUR/USD forward premiums. Our daily analysis reveals several results. Firstly, we...
Main Authors: | Nessrine Hamzaoui, Boutheina Regaieg |
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Format: | Article |
Language: | English |
Published: |
EconJournals
2016-10-01
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Series: | International Journal of Economics and Financial Issues |
Online Access: | http://mail.econjournals.com/index.php/ijefi/article/view/2740 |
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