Abstract
Among the currencies traded in the foreign exchange (Forex) market, Euro against the US Dollar (EUR/USD) remains as one of the dominant currency pairs. This study examines the disparities in the behaviour of EUR/USD return volatility during 2011 with the simultaneous release of two economic indicators of the US namely, unemployment rate (UR) and non-farm payroll (NFP) and the applicability of GARCH family models in modelling the return volatility. Literature on this kind of studies reveals that UR and NFP are highly influential on exchange rate movements. AR(2) and GARCH(1,2) models can be used to forecast the conditional mean and conditional variance of returns respectively. Conditional variance model can further be improved by including time around the release of indicators as a variance regressor.
| Original language | English |
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| Title of host publication | Proceedings of the 2014 International Forum for Mathematical Modeling: Mathematical Modeling for the Advancement of Interdisciplinary Sciences, University of Colombo, Sri Lanka, 13-14 March 2014 |
| Publisher | University of Colombo |
| Pages | 98-100 |
| Number of pages | 3 |
| ISBN (Print) | 9789550460540 |
| Publication status | Published - 2014 |
| Event | International Forum for Mathematical Modeling - Duration: 13 Mar 2013 → … |
Conference
| Conference | International Forum for Mathematical Modeling |
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| Period | 13/03/13 → … |