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- Title
Modelling of Returns and Volatility Co-movements of Central European Currencies.
- Authors
Chocholatá, Michaela
- Abstract
This paper studies the returns and volatility co-movements of the selected Central European currencies, namely the Czech koruna, Hungarian forint and Polish zloty against the European euro. The research uses the daily data covering the 15 years' period of membership of these countries in the EU (May 2004 - April 2019). The preliminary analyses based on calculation of the Pearson's unconditional correlations and of crosssectional standard deviation of exchange rate returns are followed by estimation of symmetric diagonal BEKK-GARCH and asymmetric diagonal BEKKGARCH models to assess both the dynamics of conditional volatility and the volatility co-movements of analysed Central European currencies.
- Subjects
EUROPE; PEARSON correlation (Statistics); HUNGARIAN forint; HARD currencies; COINTEGRATION; FOREIGN exchange rates
- Publication
TEM Journal, 2022, Vol 11, Issue 4, p1930
- ISSN
2217-8309
- Publication type
Article
- DOI
10.18421/TEM114-62