Theoretical and Applied Economics
No. 2 / 2015 (603), Summer
The exchange rate volatility in the Central and Eastern European Countries
Bucharest University of Economic Studies, Romania
Silvia Maria ROȘCA
Bucharest University of Economic Studies, Romania
Abstract. The present research aims to model the volatility of the currencies from Romania, the Czech Republic, Hungary and Poland in the period 2005-2014, by identifying a robust econometric model, as well as to determine the empirical values of the long term volatility and expected volatility at the end of the analyzed period. The results obtained have confirmed the validity of the GARCH (1,1) model and the unconditional volatility expressed in annual terms is relatively close for all four currencies, respectively between 8% - 10.6%. However, the values expected for the end of 2014 show significant deviations from the long term volatility, with the largest deviation registered in the case of the RON.
Keywords: volatility, heteroskedasticity, GARCH models, mean reversion.
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Contents
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- The exchange rate volatility in the Central
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- A study of the impossible trinity in Romania
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