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MODELING EXCHANGE RATE VOLATILITIES IN CROATIA

Ekonomski vjesnik/Econviews

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Field Value
 
Title MODELING EXCHANGE RATE VOLATILITIES IN CROATIA
 
Creator Bošnjak, Mile
Bilas, Vlatka
Novak, Ivan
 
Description Modeling and forecasting exchange rate volatility has important implications in a range of areas in macroeconomics and finance. A number of models have been developed in empirical finance literature to investigate this volatility across different regions and countries. Well known and frequently applied models to estimate exchange rate volatility are the autoregressive conditional heteroscedastic (ARCH) model advanced by Engle (1982) and the generalized (GARCH) model developed independently by Bollerslev (1986) and Taylor (1986). This paper examines the performance of several ARCH models for the EUR and USD against the HRK on daily data sets within the time period from 1997 to 2015. Evaluating the models through standard information criteria showed that the GARCH (2,1) is the best fitted model  for the EUR/HRK and the GARCH (1,1) for the USD/HRK daily return volatility. In accordance to the estimated models there is no empirical evidence that negative and positive shocks imply a different next period volatility of the daily EUR/HRK as well as the USD/HRK exchange rate return.Keywords: GARCH model, Heteroscedasticity, Exchange rate volatility, Croatia
 
Publisher Faculty of Economics in Osijek
 
Contributor —
 
Date 2016-06-30
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
—
 
Format application/pdf
 
Identifier http://hrcak.srce.hr/ojs/index.php/ekonomski-vjesnik/article/view/3951
 
Source Ekonomski vjesnik/Econviews - Review of Contemporary Business, Entrepreneurship and Economic Issues; Vol 29, No 1 (2016); 81-94
Ekonomski vjesnik/Econviews - Review of Contemporary Business, Entrepreneurship and Economic Issues; Vol 29, No 1 (2016); 81-94
1847-2206
0353-359X
 
Language eng
 
Relation http://hrcak.srce.hr/ojs/index.php/ekonomski-vjesnik/article/view/3951/2448
http://hrcak.srce.hr/ojs/index.php/ekonomski-vjesnik/article/downloadSuppFile/3951/2533