POUND STERLING (GBP) EXCHANGE-RATE VOLATILITY IN THE BREXIT CONTEXT USING THE EGARCH MODEL. A COMPARISON BETWEEN THE EFFECTIVE GBP VOLATILITY AND THE EGARCH ESTIMATION FOR THE PERIOD JUNE 2016 - SEPTEMBER 2019
This study investigates whether different specifications of univariate GARCH models can usefully forecast volatility on the foreign exchange market. The study uses only forecasts from an asymmetric GARCH model, namely Exponential GARCH (EGARCH) for GBP/USD exchange-rat...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Transilvania University Press
2019-12-01
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| Series: | Bulletin of the Transilvania University of Brasov. Series V : Economic Sciences |
| Subjects: | |
| Online Access: | http://webbut.unitbv.ro/bulletin/Series%20V/2019/BULETIN%20I/13_Tache.pdf |