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首页> 外文期刊>European Journal of Business and Management >Modelling the Volatility of GHC_USD Exchange Rate Using Garch Model
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Modelling the Volatility of GHC_USD Exchange Rate Using Garch Model

机译：使用Garch模型为GHC_USD汇率波动建模

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Modelling and forecasting the exchange rate volatility is a crucial area, as it has implications for many issues in the arena of finance and economics. Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models with their modifications, is used in capturing the volatility of the exchange rates. Simple rate of returns is employed to model the currency exchange rate volatility of Ghana Cedi-United States Dollar. The daily closing exchange rates were used as the daily observations. The parameters of these models are estimated using the maximum likelihood method. The results indicate that the volatility of the GHC_USD exchange rate is persistent. The asymmetry terms for TARCH are not statistically significant. Also in TARCH case, the coefficient estimate is negative, suggesting that positive shocks imply a higher next period conditional variance than negative shocks of the same sign. This is the opposite to what would have been expected in the case of the application of a GARCH model to a set of stock returns. But arguably, neither the leverage effect or volatility feedback explanations for asymmetries in the context of stocks apply here. Keywords: Exchange rate, volatility, GARCH model
机译：对汇率波动进行建模和预测是至关重要的领域，因为它对金融和经济领域的许多问题都有影响。修改后的广义自回归条件异方差（GARCH）模型用于捕获汇率的波动性。采用简单的收益率来模拟加纳塞地-美元的货币汇率波动。每日收盘汇率用作每日观察值。这些模型的参数是使用最大似然法估算的。结果表明，GHC_USD汇率的波动是持久的。 TARCH的不对称项在统计上不显着。同样在TARCH情况下，系数估计为负，这表明正冲击比相同符号的负冲击暗示更高的下一周期条件方差。这与在将GARCH模型应用于一组股票收益的情况下所期望的相反。但是可以说，对于股票背景下的不对称性，杠杆效应或波动率反馈的解释在这里均不适用。关键字：汇率，波动率，GARCH模型

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