|
Vol.11, No.4, November 2022. ISSN: 2217-8309 eISSN: 2217-8333
TEM Journal
TECHNOLOGY, EDUCATION, MANAGEMENT, INFORMATICS Association for Information Communication Technology Education and Science |
Modelling of Returns and Volatility Co-movements of Central European Currencies
Michaela Chocholatá
© 2022 Michaela Chocholatá, published by UIKTEN. This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License. (CC BY-NC-ND 4.0)
Citation Information: TEM Journal. Volume 11, Issue 4, Pages 1930 -1941, ISSN 2217-8309, DOI: 10.18421/TEM114-62, November 2022.
Received: 09 September 2022. Revised: 19 October 2022.
Abstract:
This paper studies the returns and volatility co-movements of the selected Central European currencies, namely the Czech koruna, Hungarian forint and Polish zloty against the European euro. The research uses the daily data covering the 15 years’ period of membership of these countries in the EU (May 2004 – April 2019). The preliminary analyses based on calculation of the Pearson’s unconditional correlations and of crosssectional standard deviation of exchange rate returns are followed by estimation of symmetric diagonal BEKK-GARCH and asymmetric diagonal BEKKGARCH models to assess both the dynamics of conditional volatility and the volatility co-movements of analysed Central European currencies.
Keywords – – Central Europe, co-movement, exchange rate returns, volatility, diagonal BEKK-GARCH model. |
|
----------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------- |