Studies on the Volatility and Tail Behaviour of Foreign Exchange Rates

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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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Bibliographic Details
Main Author:	Yeh, Wen-Wen
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2010
Online Access:	https://eprints.nottingham.ac.uk/24465/

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