Extrait
List of Contents
List of Tables
List of Figures
List of Abbreviations
Introduction
1. Literature Review
2. Data
2.1 Data Description
2.2 Volatility Clustering
2.3 Multiple Breakpoint - Bai - Perron test
2.4 Test for stationarity - Unit Root
2.5 Correlogram
2.6 Descriptive Statistics
3. Methodology
3.1 ARCH
3.2 GARCH(1,1)
3.3 GJR GARCH(1,1)
3.4 Exponential GARCH(1,1)
3.5 Integrated GARCH(1,1)
3.6 Volatility Forecasting
4. Empirical Results
4.1 Results of the ARCH Effects testing
4.2 Results of the GARCH(1,1) model
4.3 Results of the GJR GARCH(1,1) model
4.4 Results of the Exponential GARCH(1,1) model
4.5 Results of the Integrated GARCH(1,1) model
4.6 Results of Volatility Forecasting
Conclusion
References
Appendix
Fin de l'extrait de 43 pages
- Citation du texte
- Marvin Arras (Auteur), 2017, Intervention and Foreign Exchange Volatility. New evidence from Developed and Emerging Countries, Munich, GRIN Verlag, https://www.grin.com/document/387544
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