Modeling and forecasting exchange rate volatility in Bangladesh using GARCH models: a comparison based on normal and Student’s t-error distribution

Modeling and forecasting exchange rate volatility in Bangladesh using GARCH models: a comparison based on normal and Student’s t-error distribution

Abstract Background Modeling exchange rate volatility has remained crucially important because of its diverse implications. This study aimed to address the issue of error distribution assumption in modeling and forecasting exchange rate volatility between the Bangladeshi taka (BDT) and the US dollar...

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Bibliographic Details
Main Authors: S. M. Abdullah, Salina Siddiqua, Muhammad Shahadat Hossain Siddiquee, Nazmul Hossain
Format: Article
Language:English
Published: SpringerOpen 2017-10-01
Series:Financial Innovation
Subjects:
Exchange rate
Volatility
ARCH
GARCH
Student’s t
Error distribution
Online Access:http://link.springer.com/article/10.1186/s40854-017-0071-z

Internet

http://link.springer.com/article/10.1186/s40854-017-0071-z

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