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  • The aim of the paper is to model two types of asymmetric volatility of the exchange rate of the US dollar and British pound 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 in the US dollar exchange rate. We can conclude that appreciation changes of the exchange rate stimulate subsequent volatility to increase more than depreciation changes. Likewise, appreciation-side deviations from the target exchange rate increase the exchange rate volatility. We did not find any significant differences in asymmetry across the phases of the financial crisis.
  • The aim of the paper is to model two types of asymmetric volatility of the exchange rate of the US dollar and British pound 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 in the US dollar exchange rate. We can conclude that appreciation changes of the exchange rate stimulate subsequent volatility to increase more than depreciation changes. Likewise, appreciation-side deviations from the target exchange rate increase the exchange rate volatility. We did not find any significant differences in asymmetry across the phases of the financial crisis. (en)
Title
  • Exchange Rate Volatility of US Dollar and British Pound during Different Phases of Financial Crisis
  • Exchange Rate Volatility of US Dollar and British Pound during Different Phases of Financial Crisis (en)
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  • Exchange Rate Volatility of US Dollar and British Pound during Different Phases of Financial Crisis
  • Exchange Rate Volatility of US Dollar and British Pound during Different Phases of Financial Crisis (en)
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  • RIV/47813059:19520/12:#0001716!RIV13-MSM-19520___
http://linked.open...avai/predkladatel
http://linked.open...avai/riv/aktivita
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  • I
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
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  • 135416
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  • RIV/47813059:19520/12:#0001716
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  • exchange rate volatility, asymmetry, financial crisis, TARCH model (en)
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http://linked.open...ontrolniKodProRIV
  • [24B10B8F5124]
http://linked.open...v/mistoKonaniAkce
  • Ostrava
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  • Karviná
http://linked.open...i/riv/nazevZdroje
  • PROCEEDINGS OF THE 13TH INTERNATIONAL CONFERENCE ON FINANCE AND BANKING
http://linked.open...in/vavai/riv/obor
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http://linked.open...cetTvurcuVysledku
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  • Stavárek, Daniel
http://linked.open...vavai/riv/typAkce
http://linked.open...ain/vavai/riv/wos
  • 000309369700038
http://linked.open.../riv/zahajeniAkce
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  • Slezská univerzita v Opavě. Obchodně podnikatelská fakulta v Karviné
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  • 978-80-7248-753-0
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  • 19520
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