Empirical Results of Modeling EUR/RON Exchange Rate using ARCH, GARCH, EGARCH, TARCH and PARCH models
The aim of this study consists in examining the changes in the volatility of daily returns of EUR/RON exchange rate using on the one hand symmetric GARCH models (ARCH and GARCH) and on the other hand the asymmetric GARCH models (EGARCH, TARCH and PARCH), since the conditional variance is time-varyin...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Romanian National Institute of Statistics
2017-03-01
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| Series: | Revista Română de Statistică |
| Subjects: | |
| Online Access: | http://www.revistadestatistica.ro/wp-content/uploads/2017/03/A4_RRS1_2017.pdf |