MODELING EXCHANGE RATE VOLATILITIES IN CROATIA
; SKDD – CCP Smart Clear Inc., Zagreb, Croatia
Vlatka Bilas orcid.org/0000-0002-9021-6651 ; University of Zagreb, Faculty of Economics and Business, Zagreb, Croatia
Ivan Novak orcid.org/0000-0003-1473-7049 ; University of Zagreb, Faculty of Economics and Business, Zagreb, Croatia
APA 6th Edition
Bošnjak, M., Bilas, V. i Novak, I. (2016). MODELING EXCHANGE RATE VOLATILITIES IN CROATIA. Ekonomski vjesnik, 29 (1), 81-94. Preuzeto s https://hrcak.srce.hr/161035
MLA 8th Edition
Bošnjak, Mile, et al. "MODELING EXCHANGE RATE VOLATILITIES IN CROATIA." Ekonomski vjesnik, vol. 29, br. 1, 2016, str. 81-94. https://hrcak.srce.hr/161035. Citirano 09.12.2023.
Chicago 17th Edition
Bošnjak, Mile, Vlatka Bilas i Ivan Novak. "MODELING EXCHANGE RATE VOLATILITIES IN CROATIA." Ekonomski vjesnik 29, br. 1 (2016): 81-94. https://hrcak.srce.hr/161035
Bošnjak, M., Bilas, V., i Novak, I. (2016). 'MODELING EXCHANGE RATE VOLATILITIES IN CROATIA', Ekonomski vjesnik, 29(1), str. 81-94. Preuzeto s: https://hrcak.srce.hr/161035 (Datum pristupa: 09.12.2023.)
Bošnjak M, Bilas V, Novak I. MODELING EXCHANGE RATE VOLATILITIES IN CROATIA. Ekonomski vjesnik [Internet]. 2016 [pristupljeno 09.12.2023.];29(1):81-94. Dostupno na: https://hrcak.srce.hr/161035
M. Bošnjak, V. Bilas i I. Novak, "MODELING EXCHANGE RATE VOLATILITIES IN CROATIA", Ekonomski vjesnik, vol.29, br. 1, str. 81-94, 2016. [Online]. Dostupno na: https://hrcak.srce.hr/161035. [Citirano: 09.12.2023.]
Modeling and forecasting exchange rate volatility has important implications in a range of areas in macroeconomics and finance. A number of models have been developed in empirical finance literature to investigate this volatility across different regions and countries. Well known and frequently applied models to estimate exchange rate volatility are the autoregressive conditional heteroscedastic (ARCH) model advanced by Engle (1982) and the generalized (GARCH) model developed independently by Bollerslev (1986) and Taylor (1986). This paper examines the performance of several ARCH models for the EUR and USD against the HRK on daily data sets within the time period from 1997 to 2015. Evaluating the models through standard information criteria showed that the GARCH (2,1) is the best fitted model for the EUR/HRK and the GARCH (1,1) for the USD/HRK daily return volatility. In accordance to the estimated models there is no empirical evidence that negative and positive shocks imply a different next period volatility of the daily EUR/HRK as well as the USD/HRK exchange rate return.
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