Modelling Exchange Rate Volatility Article Swipe
Related Concepts
Econometrics
Random walk
Volatility (finance)
Autoregressive model
Random walk hypothesis
Exchange rate
Conditional variance
Statistical hypothesis testing
Economics
Autoregressive conditional heteroskedasticity
Mathematics
Statistics
Monetary economics
Geography
Archaeology
Stock market
Context (archaeology)
Two types of statistical models are empirically applied to test the pattern of volatility in the exchange rate markets. One considers the autoregressive models and tests the random walk hypothesis. The other considers the conditional variance process and tests the hypothesis of chaotic dynamics. Empirical results mostly support the random walk hypothesis and also the existence of Lorenz-type chaos.
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