Modeling exchange rate using symmetric and asymmetric GARCH models
This paper attempts to study GARCH-type models, with emphasis on fitting GARCH models to exchange rate return series. The symmetric GARCH(1,1) model is compared with the asymmetric EGARCH(1,1) model. Both models are analysed with different conditional distributions, namely Normal, Student's t a...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
| Published: |
KTH, Matematisk statistik
2016
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-195824 |