Volatility of Euro: Trends and Modelling
The main objective of this work is to model volatility of Euro to Czech Koruna exchange rate between 1.1.1999 and 30.12.2005 and investigate changes in its behaviour. In order to achieve this we search for structural breaks in exchange rate time series. We model the conditional variance with ARCH mo...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Dissertation |
| Language: | English |
| Published: |
2006
|
| Online Access: | http://www.nusl.cz/ntk/nusl-267281 |