Detecting Some Dynamic Properties of the Euro/Dollar Exchange Rate
Financial prices and returns have been the subject of empirical and theoretical analysis for many years, and their dynamic properties and other characteristics are still of interest. Many different tools have been applied to describe financial markets. The presented paper is addressed to examine the euro/dollar exchange rate and the related financial returns in the context of detecting exact and stochastic unit roots, and in the consequence, modelling them using time varying parameters model. The estimated STUR models are compared with standard ARMA-GARCH representations. We also examine causal relationships in the Granger sense. Upon the results of causality testing, some ADL-GARCH models are built, which are further used to examine their forecasting performance. Copyright IAES 2006
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Volume (Year): 12 (2006)
Issue (Month): 3 (August)
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