ARCH Models and an Application on Exchange Rate Volatility: ARCH and GARCH Models

DOI10.1007/978-3-030-54108-8_12OpenAlexW3132199823MaRDI QIDQ5049438

Lokman Kantar

Publication date: 11 November 2022

Published in: Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-54108-8_12

zbMATH Keywords

ARCHGARCHvolatilityexchange rateEGARCHTGARCH

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Volatility persistence and switching ARCH in Japanese stock returns
• Conditional Heteroskedasticity in Asset Returns: A New Approach

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