| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 963482 | Journal of International Financial Markets, Institutions and Money | 2012 | 20 Pages |
Abstract
⺠GARCH-class models with Student-t distributions are used to examine the volatility relationships between stock returns and exchange rates. ⺠Strong evidence of asymmetric reaction to news and long memory in the conditional volatility processes is found. ⺠Univariate FIAPARCH and bivariate CCC-FIAPARCH models provide more accurate volatility estimates and forecasts than the other competing specifications. ⺠FIAPARCH model is particularly useful in measuring and forecasting market risk exposure for diversified stock and currency portfolios.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Walid Chkili, Chaker Aloui, Duc Khuong Nguyen,