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Analýza volatility devizových kurzů vybraných ekonomik
[The Analysis of Volatility of Selected Countries' Exchange Rates]

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Author Info
Bednarik, Radek

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Abstract

This paper is focused on the historical development of selected exchange rates' volatility, that is: AUD, CAD, DEM, DKK, EUR, FRF, GBP, JPY, SEK and CHF against USD. The paper aims to show that relatively large increment of exchange markets' volatility is nothing special in the historical context considering the lenght and the extent.

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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 15046.

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Date of creation: 20 Dec 2008
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Handle: RePEc:pra:mprapa:15046

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Related research
Keywords: exchange; rate; volatility; ARCH; GARCH;

Find related papers by JEL classification:
F31 - International Economics - - International Finance - - - Foreign Exchange

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Noureddine Krichene, 2004. "Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices," IMF Working Papers 04/196, International Monetary Fund. [Downloadable!]
  2. Marcus Pramor & Natalia T. Tamirisa, 2006. "Common Volatility Trends in the Central and Eastern European Currencies and the Euro," IMF Working Papers 06/206, International Monetary Fund. [Downloadable!]
  3. Ãdám Kóbor & István P. Székely, 2004. "Foreign Exchange Market Volatility in EU Accession Countries in the Run-up to Euro Adoption: Weathering Uncharted Waters," IMF Working Papers 04/16, International Monetary Fund. [Downloadable!]
    Other versions:
  4. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March. [Downloadable!] (restricted)
  5. Simon Gray & Alexandre Chailloux & Rebecca McCaughrin, 2008. "Central Bank Collateral Frameworks: Principles and Policies," IMF Working Papers 08/222, International Monetary Fund.
  6. Jorge Iván Canales Kriljenko & Karl Friedrich Habermeier, 2004. "Structural Factors Affecting Exchange Rate Volatility: A Cross-Section Study," IMF Working Papers 04/147, International Monetary Fund. [Downloadable!]
  7. Noureddine Krichene, 2003. "Modeling Stochastic Volatility with Application to Stock Returns," IMF Working Papers 03/125, International Monetary Fund. [Downloadable!]
  8. Juraj Stančík, 2007. "Determinants of Exchange-Rate Volatility: The Case of the New EU Members," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(9-10), pages 414-432, October. [Downloadable!]
  9. Armando Méndez Morales, 2001. "Czech Koruna and Polish Zloty: Spot and Currency Option Volatility Patterns," IMF Working Papers 01/120, International Monetary Fund.
  10. Turgut Kisinbay, 2003. "Predictive Ability of Asymmetric Volatility Models at Medium-Term Horizons," IMF Working Papers 03/131, International Monetary Fund. [Downloadable!]
  11. Sandeep Kapur & Ana Fostel & Luis Catão, 2007. "Persistent Gaps, Volatility Types, and Default Traps," IMF Working Papers 07/148, International Monetary Fund. [Downloadable!]
  12. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
  13. Burcu Aydin, 2008. "Banking Structure and Credit Growth in Central and Eastern European Countries," IMF Working Papers 08/215, International Monetary Fund. [Downloadable!]
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