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Detecting Regime Switches In The Eur/Ron Exchange Rate Volatility

Author

Listed:
  • Necula Ciprian

    (Academia de Studii Economice, FABBV)

  • Radu Alina-Nicoleta

    (Academia de Studii Economice, FABBV)

Abstract

In the present study we develop and implement a short term exchange rate forecasting methodology using dynamic confidence intervals based on GARCH processes and we analyze whether this methodology can be used to model a regime switch in the volatility of

Suggested Citation

  • Necula Ciprian & Radu Alina-Nicoleta, 2009. "Detecting Regime Switches In The Eur/Ron Exchange Rate Volatility," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 3(1), pages 610-615, May.
    • Handle: RePEc:ora:journl:v:3:y:2009:i:1:p:610-615
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    conditional heteroskedasticity; regime switch; exchange rates; long memory;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications

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