Volatility Modeling of Emerging Foreign Exchange Market: A Case of Bangladesh
This paper examined the volatility models for exchange rate return, including Random Walk model, AR model, GARCH model and extensive GARCH model, with Normal and Student-t distribution assumption as well as nonparametric specification test of these models. We fit these models to Bangladesh foreign e...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Emerald Publishing
2013-12-01
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| Series: | Journal of International Logistics and Trade |
| Online Access: | https://www.emerald.com/insight/content/doi/10.24006/jilt.2013.11.3.19/full/pdf |