The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic Approach to Investigating the Foreign Exchange Forward Premium Volatility

This paper empirically investigates the volatility dynamics of the EUR/USD forward premium via GARCH-M (1,1) and GJR-GARCH(1,1) and GJR-GARCH(1,1)-M models. Our empirical analysis is based on daily data related to the EUR/USD forward premiums. Our daily analysis reveals several results. Firstly, we...

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Bibliographic Details
Main Authors: Nessrine Hamzaoui, Boutheina Regaieg
Format: Article
Language:English
Published: EconJournals 2016-09-01
Series:International Journal of Economics and Financial Issues
Subjects:
Online Access:https://dergipark.org.tr/tr/pub/ijefi/issue/32045/354693?publisher=http-www-cag-edu-tr-ilhan-ozturk