Econometric modeling of euro, British pound and Japanese yen exchange rates against dollar: Multivariate GARCH approach

Bankarstvo

Kovačević Radovan¹ 

[1] Ekonomski fakultet Univerziteta u Beogradu;

关键词: Exchange rate volatility;    volatility comovements;    multivariate diagonal BEKK GARCH model;    conditional variance;    exchange rate returns;   

DOI  :  

来源: DOAJ

【 摘 要 】

This paper examines the comparative volatility of major world currencies (the euro, British pound and Japanese yen) against the US dollar. The multivariate diagonal GARCH BEKK model was applied in the study. The conditional correlation was estimated by this model, as well as the conditional variance and covariance of the system of these three currencies. The results of the empirical analysis show significant agreement in the movement of foreign exchange rates, particularly between the euro and the British Pound. This means that there is a mutual transfer of volatility in exchange rates between currencies with a higher degree of correlation. Greater stability or instability of a currency is transferred to the volatility of other currencies. These findings influence the currency portfolio diversification and risk management.

【 授权许可】

Unknown