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  • 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.
  • 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. (en)
Title
  • Modelling Asymmetry in the CZK/EUR Exchange Rate Volatility
  • Modelling Asymmetry in the CZK/EUR Exchange Rate Volatility (en)
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  • Modelling Asymmetry in the CZK/EUR Exchange Rate Volatility
  • Modelling Asymmetry in the CZK/EUR Exchange Rate Volatility (en)
skos:notation
  • RIV/47813059:19520/12:#0001931!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
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 151082
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  • RIV/47813059:19520/12:#0001931
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  • exchange rate, volatility, asymmetry, financial crisis, TGARCH (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [15271DBA32D1]
http://linked.open...v/mistoKonaniAkce
  • Petrovice u Karviné
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  • Karviná
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  • Conference Proceedings of the International Scientific Conference ICT for Competitiveness 2012
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http://linked.open...ichTvurcuVysledku
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http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Stavárek, Daniel
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
number of pages
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  • Slezská univerzita v Opavě. Obchodně podnikatelská fakulta v Karviné
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  • 978-80-7248-731-8
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  • 19520
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