IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Estimating The Real Effective Exchange Rate Volatility With Arch And Garch Models

  • Serife Ozsahin
  • Dogan Uysal

    ()

    (Selcuk University
    Celal Bayar University)

Registered author(s):

    Since real effective exchange rate is the key relative price in international finance, it is required to model sudden changes in the short-run properly. Models which ignore the volatility of these changes would cause erroneous conclusions with regards to relationship among variables. Studies done to model real effective exchange rate generally prefer to utilize ARCH and GARCH specifications. Similarly in this study, current volatility in the TL/Dollar monthly exchange rates from March, 2001 which is the beginning point on which Turkish economy moved into a floating exchange rate regime to May, 2010 was tried to model. It was found evidence that GARCH(1,1) offers the most convenient model to adjust exchange rate volatility in the Turkish economy.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.anadolu.edu.tr/arastirma/hakemli_dergiler/sosyal_bilimler/pdf/2012_1/2012-01-02.pdf
    Download Restriction: no

    Article provided by Anadolu University in its journal Anadolu University Journal of Social Sciences.

    Volume (Year): 12 (2012)
    Issue (Month): 1 (March)
    Pages: 13-20

    as
    in new window

    Handle: RePEc:and:journl:v:12:y:2012:i:1:p:13-20
    Contact details of provider: Postal: Yunus Emre Kampusu 26470, Eski┼čehir
    Phone: (90) (222) 335-0580 x 2743
    Fax: (90) (222) 320-1304
    Web page: http://www.anadolu.edu.tr/akademik/birim/genelBilgi/205/3429/1
    Email:


    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:and:journl:v:12:y:2012:i:1:p:13-20. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Social Sciences Institute)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.