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Investigating The Evolution Of Ron/Eur Exchange Rate: The Choice Of Appropriate Model

Listed author(s):
  • Liviu-Stelian BEGU

    ()

    (The Bucharest University of Economic Studies)

  • Silvia Spataru

    ()

    (The Bucharest University of Economic Studies)

  • Erika Marin

    ()

    (The Bucharest University of Economic Studies)

Registered author(s):

    The volatility of currency exchange rates can be considered as an useful measure of uncertainty about the economic environment of a country.The paper aims to investigate the evolution of the daily RON/EURO exchange rate between January 5th, 2009 and October 12, 2012. Several appropriate models are used and discussed, from ARCH, GARCH models to EGARCH and TGARCH models, trying to capture the main features of the analysed data. The periods of low and high volatility are discussed and analysed in correlation to the negative and positive shocks. The used models are able to model asymmetries in volatility forecasts allowing for asymmetric responses in volatility to the positive and negative shocks.

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    Article provided by Bucharest University of Economic Studies in its journal Journal of Social and Economic Statistics.

    Volume (Year): 1 (2012)
    Issue (Month): 2 (DECEMBER)
    Pages: 23-39

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    Handle: RePEc:aes:jsesro:v:1:y:2012:i:2:p:23-39
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    1. Robert Engle, 2001. "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 157-168, Fall.
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