Modelling the volatility of currency exchange rate using GARCH model

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Modelling the volatility of currency exchange rate using GARCH model

This paper attempts to study GARCH models with their modifications, in capturing the volatility of the exchange rates. The parameters of these models are estimated using the maximum likelihood method. The performance of the within-sample estimation is diagnosed using several goodness-of-fit statist...

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Bibliographic Details
Main Authors:	Choo, Wei Chong, Loo, Sin Chun, Ahmad, Muhammad Idrees
Format:	Article
Language:	English
Published:	Universiti Putra Malaysia Press 2002
Online Access:	http://psasir.upm.edu.my/id/eprint/3352/ http://psasir.upm.edu.my/id/eprint/3352/1/Modelling_the_Volatility_of_Currency_Exchange_Rate_Using_GARCH_Model.pdf

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