Studies on the Volatility and Tail Behaviour of Foreign Exchange Rates
Based on GARCH, TGARCH, EGARCH models with three different distributional assumptions, we find that foreign exchange rates are better described by fat-tailed distributions in terms of goodness-of-fit. Moreover, the asymmetric effect parameter capturing the positive and negative shocks on volatility...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2010
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| Online Access: | https://eprints.nottingham.ac.uk/24465/ |