Predictive method for exchange rate volatility
Kaydedildi:
| Yazar: | |
|---|---|
| Durum: | Versión publicada |
| Yayın Tarihi: | 2011 |
| Diğer Bilgiler: | The time series, used to describe the stock prices and Exchange rate, have two characteristics: kurtosis and volatility. Actually, there are models that study kurtosis and volatility such as non lineal models: Garch models, conditional volatility and stochastic volatility models. These models are used in market risk for the forecasting of the exchange rate in the short term. The first models (Garch and conditional volatility) define volatility with its volatility from the past periods and volatility financial shocks. The second models are like Garch models but use a stochastic process knows as Wienner. This process uses simulating random walks of the exchange rate with simulating volatilities by stochastic equations. In this paper, we will analyze the performance of Garch models verses the actual models used to give forecast of the exchange rate. |
| Ülke: | Portal de Revistas UCR |
| Kurum: | Universidad de Costa Rica |
| Repositorio: | Portal de Revistas UCR |
| Dil: | Español |
| OAI Identifier: | oai:portal.revistas.ucr.ac.cr:article/7245 |
| Online Erişim: | https://revistas.ucr.ac.cr/index.php/reconomicas/article/view/7245 |
| Anahtar Kelime: | Kurtosis Volatilidad Riesgo cambiarioo Volatiliy Market risk |