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
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