Short-Term Dependencies between the Volatility of Currency, Money and Capital Markets: The Case of Poland
AbstractThe paper presents GARCH models for the Euro-Polish zloty and US dollar-Polish zloty currency rates. It applies the approach within which both the conditional variance function and the mean equation of the ARCH class model are expanded simultaneously. The basic regression equation incorporates causal dependencies between currency prices and the main characteristics of domestic and international currency, money and capital markets. The paper provides an insight into the currency market microstructure as the presented investigation takes into account the intradaily features of the market. Model selection and performance has been evaluated by the use of direction quality measures.
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Bibliographic InfoPaper provided by Centre for Economic Reform and Transformation, Heriot Watt University in its series CERT Discussion Papers with number 0409.
Date of creation: 2004
Date of revision:
currency market; GARCH models; direction quality measures; emerging markets;
Find related papers by JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-10-21 (All new papers)
- NEP-IFN-2004-10-21 (International Finance)
- NEP-RMG-2004-10-21 (Risk Management)
- NEP-TRA-2004-10-21 (Transition Economics)
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