in the currencies of this region. In particular, a Component-GARCH model is estimated, which is able to distinguish short …

examined using the ADF and PP approach, the stationary process, and order of the incorporated series. The ARCH and GARCH models …

This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … compare estimates of variants of GARCH models with break in respect of the US dollar rates with exogenously determined break … estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction …

This study employs measures of variability and three GARCH models to comparatively explore the behaviour of exchange …

model the volatility and jumps in exchange rate returns by using the GARCH autoregressive conditional jump intensity model …

(GARCH), asymmetric power ARCH (APARCH), exponential generalized autoregressive conditional heteroscedstic (EGARCH …-of-sample volatility forecasting, AR(2)-GARCH(1, 1) is considered the best. …

recursive residuals. Thereafter, the GARCH and EGARCH models are considered to capture the volatility contained in the data. The …