The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic Approach to Investigating the Foreign Exchange Forward Premium Volatility

Nessrine Hamzaoui; Boutheina Regaieg

Makale detayları

The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic Approach to Investigating the Foreign Exchange Forward Premium Volatility

Yazarlar:

Nessrine Hamzaoui | Boutheina Regaieg

Yayıncı:

İlhan ÖZTÜRK

Dergi:

International Journal of Economics and Financial Issues 2016 Vol.6 Issue 4, pp.1608-1615

Belge Tipi:

Makale

Yayın Tarihi:

8/2016

Belge Dili:

Türkçe

Document ID (Org No.):

2000812529

Sıklık:

İki Aylık

eISSN:

2146-4138

Özet:

 

This paper empirically investigates the volatility dynamics of the EUR/USD forward premium via GARCH-M (1,1) and GJR-GARCH(1,1) and GJR-GARCH(1,1)-M models. Our empirical analysis is based on daily data related to the EUR/USD forward premiums. Our daily analysis reveals several results. Firstly, we confirm that the nine-month and one-year forward premiums are explained in large part by their conditional variances. Secondly, according to the theoretical predictions of the asymmetric framework, we show that the conditional variances equations exhibit an asymmetry in the dynamics of the conditional variance only for the 9 months and 12 months horizons. Thirdly, for the -6-month, 9-month and 12-month forward premiums; the GJR-GARCH in mean effect is totally absent.

Makale detayları

The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic Approach to Investigating the Foreign Exchange Forward Premium Volatility

Yazarlar: Nessrine Hamzaoui | Boutheina Regaieg

Yayıncı: İlhan ÖZTÜRK

Dergi: International Journal of Economics and Financial Issues 2016 Vol.6 Issue 4, pp.1608-1615

Belge Tipi: Makale

Yayın Tarihi: 8/2016

Belge Dili: Türkçe

Document ID (Org No.): 2000812529

Sıklık: İki Aylık

eISSN: 2146-4138

Sayı

Yazarlar:

Nessrine Hamzaoui | Boutheina Regaieg

Yayıncı:

İlhan ÖZTÜRK

Dergi:

International Journal of Economics and Financial Issues 2016 Vol.6 Issue 4, pp.1608-1615

Belge Tipi:

Makale

Yayın Tarihi:

8/2016

Belge Dili:

Türkçe

Document ID (Org No.):

2000812529

Sıklık:

İki Aylık

eISSN:

2146-4138