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Intervention and Foreign Exchange Volatility. New evidence from Developed and Emerging Countries


Master's Thesis, 2017

43 Pages, Grade: 2:1


Excerpt


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

Excerpt out of 43 pages

Details

Title
Intervention and Foreign Exchange Volatility. New evidence from Developed and Emerging Countries
College
Queen Mary University of London
Grade
2:1
Author
Year
2017
Pages
43
Catalog Number
V387544
ISBN (eBook)
9783668628601
ISBN (Book)
9783668628618
File size
672 KB
Language
English
Keywords
Rupee, Euro, Volatility, Exchange Rate, GARCH, EGARCH, ARCH, GJR-GARCH, Volatility Forecasting, Emerging Markets, Currencies, Developed Countries, Integrated GARCH, Hedging, Trading, SWAPs, Volatility Breakpoint, Bai-Perron, Yen, International Monetary Fund, Bank of England, ECB, Federal Reserve Bank, Bank of Japan
Quote paper
Marvin Arras (Author), 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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