The effect of financial crisis on asymmetry of the exchange rate volatility in Central Europe

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F10%3A%230000556" target="_blank" >RIV/47813059:19520/10:#0000556 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
The effect of financial crisis on asymmetry of the exchange rate volatility in Central Europe
Original language description
The paper estimates exchange rate volatility and assess its asymmetric components in three Central European countries during various phases of the recent financial crisis. Applying extended TGARCH model and daily exchange rates data we reveal that the exchange rate volatility varied substantially among the currencies and over the crisis with a double peak during the crisis culmination. We found some symptoms of asymmetry in all exchange rates and realized that mainly appreciation-side deviations from the target exchange rate increase the exchange rate volatility.
Czech name
—
Czech description
—

Project
<a href="/en/project/GA402%2F08%2F0067" target="_blank" >GA402/08/0067: Financial Integration of the EU New Member States with Eurozone</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 28th International Conference on Mathematical Methods in Economics 2010
ISBN
978-80-7394-218-2
ISSN
—
e-ISSN
—
Number of pages
6
Pages from-to
—
Publisher name
University of South Bohemia, Faculty of Economics
Place of publication
České Budějovice
Event location
České Budějovice
Event date
Jan 1, 2010
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
BTS47

Similar results(10)