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The study examined stock prices (SP) and exchange rate (ER) interactions with multivariate VAR-GARCH model using monthly data from January 2000 to October 2014. The results of the Engle and Granger and Johansen cointegration test show that there is stable long-term relationship between SP and...
Persistent link: https://www.econbiz.de/10014232542
This study is undertaken to determine the relative impacts of the uncertainty of macroeconomic variables on investment and make policy recommendations that may help dampen their fluctuations. In the study, generalized autoregressive conditional heteroscedasticity (GARCH) model was applied in the...
Persistent link: https://www.econbiz.de/10010676279
This study is undertaken to determine the relative impacts of the uncertainty of macroeconomic variables on investment and make policy recommendations that may help dampen their fluctuations. In the study, generalized autoregressive conditional heteroscedasticity (GARCH) model was applied in the...
Persistent link: https://www.econbiz.de/10009779165