Modelling EUR/USD return volatility incorporating long run co-movements in exchange rates and US economic indicators

H. A. Pathberiya; C. D. Tilakaratne; L. L. Hansen; R. S. Lokupitiya

Modelling EUR/USD return volatility incorporating long run co-movements in exchange rates and US economic indicators

H. A. Pathberiya, C. D. Tilakaratne, L. L. Hansen, R. S. Lokupitiya

Research output: Chapter in Book / Conference Paper › Conference Paper › peer-review

Abstract

The nature of long-run co-movements in exchange rates is informative, since it permits participants at the foreign exchange market to gain excess profits from trades. In this study an attempt was made to improve the predictions of Euro against US dollar (EUR/USD) return volatility resulted from GARCH models by incorporating cointegrated exchange rates into the model using exchange rates at five minute frequency in 2013.

Original language	English
Title of host publication	Proceedings of the International Statistics Conference, IASSL 2014: Statistics & Society in the New Information Age: Challenges and Opportunities, December 28-30, 2014, Galadari Hotel, Colombo Sri Lanka
Publisher	Institute of Applied Statistics
Pages	55-55
Number of pages	1
Publication status	Published - 2014
Event	International Statistics Conference - Duration: 1 Jan 2014 → …

Conference

Conference	International Statistics Conference
Period	1/01/14 → …

Keywords

foreign exchange rates
economic indicators
cointegration
GARCH model
volatility

Cite this

Pathberiya, H. A., Tilakaratne, C. D., Hansen, L. L., & Lokupitiya, R. S. (2014). Modelling EUR/USD return volatility incorporating long run co-movements in exchange rates and US economic indicators. In Proceedings of the International Statistics Conference, IASSL 2014: Statistics & Society in the New Information Age: Challenges and Opportunities, December 28-30, 2014, Galadari Hotel, Colombo Sri Lanka (pp. 55-55). Institute of Applied Statistics.

Pathberiya, H. A. ; Tilakaratne, C. D. ; Hansen, L. L. et al. / Modelling EUR/USD return volatility incorporating long run co-movements in exchange rates and US economic indicators. Proceedings of the International Statistics Conference, IASSL 2014: Statistics & Society in the New Information Age: Challenges and Opportunities, December 28-30, 2014, Galadari Hotel, Colombo Sri Lanka. Institute of Applied Statistics, 2014. pp. 55-55

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title = "Modelling EUR/USD return volatility incorporating long run co-movements in exchange rates and US economic indicators",

abstract = "The nature of long-run co-movements in exchange rates is informative, since it permits participants at the foreign exchange market to gain excess profits from trades. In this study an attempt was made to improve the predictions of Euro against US dollar (EUR/USD) return volatility resulted from GARCH models by incorporating cointegrated exchange rates into the model using exchange rates at five minute frequency in 2013.",

keywords = "foreign exchange rates, economic indicators, cointegration, GARCH model, volatility",

author = "Pathberiya, {H. A.} and Tilakaratne, {C. D.} and Hansen, {L. L.} and Lokupitiya, {R. S.}",

year = "2014",

language = "English",

pages = "55--55",

booktitle = "Proceedings of the International Statistics Conference, IASSL 2014: Statistics & Society in the New Information Age: Challenges and Opportunities, December 28-30, 2014, Galadari Hotel, Colombo Sri Lanka",

publisher = "Institute of Applied Statistics",

note = "International Statistics Conference ; Conference date: 01-01-2014",

}

Pathberiya, HA, Tilakaratne, CD, Hansen, LL & Lokupitiya, RS 2014, Modelling EUR/USD return volatility incorporating long run co-movements in exchange rates and US economic indicators. in Proceedings of the International Statistics Conference, IASSL 2014: Statistics & Society in the New Information Age: Challenges and Opportunities, December 28-30, 2014, Galadari Hotel, Colombo Sri Lanka. Institute of Applied Statistics, pp. 55-55, International Statistics Conference, 1/01/14.

Modelling EUR/USD return volatility incorporating long run co-movements in exchange rates and US economic indicators. / Pathberiya, H. A.; Tilakaratne, C. D.; Hansen, L. L. et al.
Proceedings of the International Statistics Conference, IASSL 2014: Statistics & Society in the New Information Age: Challenges and Opportunities, December 28-30, 2014, Galadari Hotel, Colombo Sri Lanka. Institute of Applied Statistics, 2014. p. 55-55.

Research output: Chapter in Book / Conference Paper › Conference Paper › peer-review

TY - GEN

T1 - Modelling EUR/USD return volatility incorporating long run co-movements in exchange rates and US economic indicators

AU - Pathberiya, H. A.

AU - Tilakaratne, C. D.

AU - Hansen, L. L.

AU - Lokupitiya, R. S.

PY - 2014

Y1 - 2014

N2 - The nature of long-run co-movements in exchange rates is informative, since it permits participants at the foreign exchange market to gain excess profits from trades. In this study an attempt was made to improve the predictions of Euro against US dollar (EUR/USD) return volatility resulted from GARCH models by incorporating cointegrated exchange rates into the model using exchange rates at five minute frequency in 2013.

AB - The nature of long-run co-movements in exchange rates is informative, since it permits participants at the foreign exchange market to gain excess profits from trades. In this study an attempt was made to improve the predictions of Euro against US dollar (EUR/USD) return volatility resulted from GARCH models by incorporating cointegrated exchange rates into the model using exchange rates at five minute frequency in 2013.

KW - foreign exchange rates

KW - economic indicators

KW - cointegration

KW - GARCH model

KW - volatility

UR - http://handle.uws.edu.au:8081/1959.7/uws:31962

M3 - Conference Paper

SP - 55

EP - 55

BT - Proceedings of the International Statistics Conference, IASSL 2014: Statistics & Society in the New Information Age: Challenges and Opportunities, December 28-30, 2014, Galadari Hotel, Colombo Sri Lanka

PB - Institute of Applied Statistics

T2 - International Statistics Conference

Y2 - 1 January 2014

ER -

Pathberiya HA, Tilakaratne CD, Hansen LL, Lokupitiya RS. Modelling EUR/USD return volatility incorporating long run co-movements in exchange rates and US economic indicators. In Proceedings of the International Statistics Conference, IASSL 2014: Statistics & Society in the New Information Age: Challenges and Opportunities, December 28-30, 2014, Galadari Hotel, Colombo Sri Lanka. Institute of Applied Statistics. 2014. p. 55-55

Modelling EUR/USD return volatility incorporating long run co-movements in exchange rates and US economic indicators

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