ASYMMETRIC GARCH-TYPE AND HALF-LIFE VOLATILITY MODELLING OF USD/KZT EXCHANGE RATE RETURNS

Mert URAL; Erhan DEMIRELI

Makale detayları

ASYMMETRIC GARCH-TYPE AND HALF-LIFE VOLATILITY MODELLING OF USD/KZT EXCHANGE RATE RETURNS

Yazarlar:

Mert URAL | Erhan DEMIRELI

Yayıncı:

Khoja Akhmet Yassawi International Kazakh-Turkish University

Ana Başlıklar:

Sosyoloji & antropoloji

Dergi:

Eurasian Research Journal 2020 Vol.2 Issue 2, pp.7-18

Belge Tipi:

Makale

Yayın Tarihi:

7/2020

Belge Dili:

İngilizce

Document ID (Org No.):

2000424206

eISSN:

2519-2442

pISSN:

2519-2442

Özet:

 

Empirical studies have shown that a large number of financial assets returns exhibit fat tails (leptokurtosis) and are often characterized by volatility clustering and asymmetry. This paper considers the ability of the asymmetric GARCHtype models to capture the stylized features of volatility in USD/KZT exchange rate returns. Therefore, the half-life parameter of the USD/KZT returns series were calculated for three sub-periods. The results revealed that the half-life was 6 days, 16 days and 12 days for 1st sub-period, 2nd sub-period and 3rd sub-period respectively. According to the results, in the presence of asymmetric responses to innovations in the Kazakhstan foreign exchange market, the EGARCH (1.1)-GED model which accommodates the kurtosis of financial time series is preferred. Also, these results show that the USD/KZT exchange rate returns have strong mean reversion and short half-life.

Makale detayları

ASYMMETRIC GARCH-TYPE AND HALF-LIFE VOLATILITY MODELLING OF USD/KZT EXCHANGE RATE RETURNS

Yazarlar: Mert URAL | Erhan DEMIRELI

Yayıncı: Khoja Akhmet Yassawi International Kazakh-Turkish University

Ana Başlıklar: Sosyoloji & antropoloji

Dergi: Eurasian Research Journal 2020 Vol.2 Issue 2, pp.7-18

Belge Tipi: Makale

Yayın Tarihi: 7/2020

Belge Dili: İngilizce

Document ID (Org No.): 2000424206

eISSN: 2519-2442

pISSN: 2519-2442

Sayı

Yazarlar:

Mert URAL | Erhan DEMIRELI

Yayıncı:

Khoja Akhmet Yassawi International Kazakh-Turkish University

Ana Başlıklar:

Sosyoloji & antropoloji

Dergi:

Eurasian Research Journal 2020 Vol.2 Issue 2, pp.7-18

Belge Tipi:

Makale

Yayın Tarihi:

7/2020

Belge Dili:

İngilizce

Document ID (Org No.):

2000424206

eISSN:

2519-2442

pISSN:

2519-2442