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Continuous Modeling of Foreign Exchange Rate of USD versus TRY

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Listed:
  • Ari, Yakup
  • Unal, Gazanfer

Abstract

This study aims to construct continuous-time autoregressive (CAR) model and continuous-time GARCH (COGARCH) model from discrete time data of foreign exchange rate of United States Dollar (USD) versus Turkish Lira (TRY). These processes are solutions to stochastic differential equation Lévy-driven processes. We have shown that CAR(1) and COGARCH(1,1) processes are proper models to represent foreign exchange rate of USD and TRY for different periods of time February 2002- June 2010

Suggested Citation

  • Ari, Yakup & Unal, Gazanfer, 2010. "Continuous Modeling of Foreign Exchange Rate of USD versus TRY," MPRA Paper 29241, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:29241
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    References listed on IDEAS

    as
    1. Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38.
    2. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    Full references (including those not matched with items on IDEAS)

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    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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