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Testing The Performance Of Garch And Egarch Models In The Study Of Foreign Exchange Rates Of Public Servants And Of The Population

Author

Listed:
  • Radu LUPU

    (Institute for Economic Forecasting, Romania)

  • Adrian Cantemir CALIN

    (Institute for Economic Forecasting,Romania)

  • Carmen ALBU

    (National Institute of Economic Research,Romanian Academy)

Abstract

After the demise of the Bretton Woods accord, the dynamics of the exchange rates has become a fundamental topic in the economic analysis and forecasting. The genesis of the ARCH – GARCH models offered a powerful tool in the assessment of exchange rate volatilities. We use the GARCH and EGARCH models and test their efficiency on 44 currency pairs. The results indicate the former’s superiority in isolating exchange rate volatility.

Suggested Citation

  • Radu LUPU & Adrian Cantemir CALIN & Carmen ALBU, 2014. "Testing The Performance Of Garch And Egarch Models In The Study Of Foreign Exchange Rates Of Public Servants And Of The Population," HOLISTICA Journal of Business and Public Administration, Association Holistic Research Academic (HoRA), vol. 5(1), pages 54-63, January-J.
    • Handle: RePEc:urn:urnste:v:5:y:2014:i:1:p:54-63
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    Cited by:

    1. POPOVICI, Oana Cristina, 2015. "A Volatility Analysis Of The Euro Currency And The Bond Market," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 19(1), pages 67-79.

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