'Arch garch models' presentation slideshows

Module 3 GARCH Models

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Student : Becar Iuliana Supervisor: Professor Moisa Altar

DISSERTATION PAPER Modeling and F orecasting the V olatility of the EUR / ROL E xchange R ate U sing GARCH M odels. Student : Becar Iuliana Supervisor: Professor Moisa Altar. Table of Contents. The importance of forecasting exchange rate volatility. Data description.

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Volatility

Volatility. Chapter 10. Motivation:. Until the early 80s econometrics had focused almost solely on modeling the means of series, i.e. their actual values. Recently however we have focused increasingly on the importance of volatility, its determinates and its effects on mean values.

380 views • 37 slides