ARTICLE
TITLE

Using TGARCH, TGARCH-M, EGARCH, EGARCH-M, PGARCH and PGARCH-M models Gaussian and non-Gaussian for modeling (EUR/USD) and (GBP/USD) Exchange Rate

SUMMARY

This paper aims to study characteristics of exchange rate volatility of (EUR/USD) and (GBP/USD) using daily closing prices for two time periods, sub-period form (1 January 2015 until 15 may 2020) and full period from(1 January 2010 until 15 may 2020). This is done by studying (TGARCH,EGARCH, PGARCH,TGARCH-M, EGARCH-M, and PGARCH-M) models. The error term assumed five distributional (Gaussian, Student-t, Student-t with fixed df ,(GED) and (GED) with fixed parameter. The results showed that the EGARCH(1,1) has been the best model selected for the return series of ( EUR/USD) exchange rate in the both full and sub period series. The best model selected for the return series of (GBP/USD) exchange rate it was EGARCH(1,1) model in the full period and TGARCH(1,1) model in the sub-period. All four models selected are based on the Student's t distribution to provide the leverage parameter of the EGARCH model of (EUR/USD) in the full time period and sub-period and the EGARCH model of (GBP/USD) in the full time.

PAGES
pp. 1535 - 1547

 Articles related

Saadya Fahad Jabbar,Asmaa Hussien Alwan,Abdullah Hasan Ali    

Cardiac disease, including atrial fibrillation (AF), is one of the biggest causes of morbidity and mortality in the world, accounting for one third of all deaths. Cardiac modelling is now a well-established field. The Convolutional Neural Network (CNN) ... see more


Noura H. Ajam,Zainab S. Jumaa    

Covid-19 spread out rapidly around the world, forcing many countries to full shutdown, and economical and social consequences. Resulting in rapid need for new and effective methods to deal with this crisis and control it. X-ray lung images is considered ... see more


Esmaeel Ali Alselmawi,Rahim Alhamzawi    

Left-censored linear regression models are quite popular models and have been deeply considered in the last three decades. In this paper, we consider a completely Bayesian approach for making a new Markov chain Monte Carlo (MCMC) algorithm with tractable... see more


Alaa M. Al-Khekany,Munaf A. Al-Ramahee,Labeeb S. Al-Yassri    

Experimental and numerical research has been conducted to investigate the role of using angle shear connectors as a replacement of headed stud (HS) on the performance of the composite beams under the effect of the negative bending moment (NBM). The repla... see more


Migdat Hodzic,Ivan Kennedy    

The periodicity of Vostok ice core climate temperature and gas concentration data indicate inherent long term past regularity of Earth’s climate, with a period of around 100,000 years, warming around 15,000 and cooling of around 85,000 years. At this po... see more