Modelling Asymmetry in the CZK/EUR Exchange Rate Volatility

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F12%3A%230001931" target="_blank" >RIV/47813059:19520/12:#0001931 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Modelling Asymmetry in the CZK/EUR Exchange Rate Volatility
Original language description
The aim of the paper is to model two types of asymmetric volatility of the exchange rate of the Czech koruna against the euro during the financial crisis. We apply a modified TARCH model on daily data covering the period 1 March 2007 - 31 March 2011 divided into four phases of the financial crisis. The results suggest that the presence of asymmetric attributes of the exchange rate volatility were relatively common particularly during the phases of crisis initialization and culmination. Although the results are somewhat contradictory, the increase of volatility is predominantly associated with appreciation-side divergences from the implicit target exchange rate.
Czech name
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Czech description
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Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Conference Proceedings of the International Scientific Conference ICT for Competitiveness 2012
ISBN
978-80-7248-731-8
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
252-258
Publisher name
Slezská univerzita v Opavě, Obchodně podnikatelská fakulta v Karviné
Place of publication
Karviná
Event location
Petrovice u Karviné
Event date
Jan 1, 2012
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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