Modeling Exchange Rate Volatility: Application of the GARCH and EGARCH Models

Journals Menu

Follow SCIRP

	+1 323-425-8868
	customer@scirp.org
	+86 18163351462(WhatsApp)
	1655362766

	Paper Publishing WeChat

Journal of Mathematical Finance

ISSN Print: 2162-2434
ISSN Online: 2162-2442
www.scirp.org/journal/jmf
E-mail: jmf@scirp.org

Google-based Impact Factor: 0.87
Citations h5-index & Ranking

Journals Menu

"Modeling Exchange Rate Volatility: Application of the GARCH and EGARCH Models"
written by Manamba Epaphra,
published by Journal of Mathematical Finance, Vol.7 No.1, 2017

has been cited by the following article(s):

Google Scholar
CrossRef

[1]	Examining the Spillover Effects from Global Stock Markets to Indian Stock Market
	Asian Journal of …, 2023

[2]	Modeling RMB Exchange Rate Volatility–Application of GARCH Family Models
	SHS Web of Conferences, 2023

[3]	Official Interventions in the Foreign Exchange Market: Implications for Exchange Rate and Its Volatility
	… Economics and Finance: Essays in Honour …, 2022

[4]	Analysing exchange rate volatility in India using GARCH family models
	SN Business & Economics, 2022

[5]	Exploring the Impact of COVID-19 on Exchange Rate Volatility: Evidence from South Asia
	Exploring the Impact of COVID-19 on …, 2022

[6]	Effect of Demonetisation of on Indian High Denomination Currencies on Indian Stock Market and its Relationship with Foreign Exchange Rate
	arXiv preprint arXiv:2207.06963, 2022

[7]	Nexus between asymmetric information and stock market volatility: evidence from Sri Lanka
	Economic …, 2022

[8]	Exchange Rate Volatility and Its Effect on Trade Export Performance in Kenya
	Economic Research, 2022

[9]	POST-COVID-19 VOLATILITY OF EXCHANGE RATE RETURNS A CASE STUDY OF PAKISTAN
	GMJACS, 2022

[10]	Analysis of Exchange Rate Volatility in Peru in the Presence of Structural Breaks
	Journal of Hunan University Natural Sciences, 2022

[11]	Детерминанты валютно-обменного курса рубля
	ББК 65.261 А 43, 2022

[12]	Volatility, Spillover, and Herding of the Middle East North African (MENA) region
	2021

[13]	Impact of ELM Parameters and Investment Horizon for Currency Exchange Prediction
	Artificial Intelligence and Soft Computing: 20th …, 2021

[14]	Exchange Rate Volatility in the Covid-19 Period: An Analysis Using the Markov-Switching ARCH Model
	Ekoist: Journal of Econometrics and Statistics, 2021

[15]	Modeling the Rwanda Exchange Rates by GARCH Models
	African Journal of Applied …, 2021

[16]	Mathematical Modelling of Engineering Problems
	Journal homepage: http://iieta. org/journals/mmep, 2021

[17]	Modelling and Forecasting the Volatility of Daily Exchange Rate Using GARCH Model
	2021

[18]	Modelling volatility in the currency using stochastic models (GARCH and EGARCH)
	2021

[19]	MODELLING OF OIL PRICE VOLATILITY USING ARIMA-GARCH MODELS
	2021

[20]	Volatility of Stock Prices in Tanzania: Application of Garch Models to Dar Es Salaam Stock Exchange
	2021

[21]	Modelling Exchange Rate Volatility of Somali Shilling Against US Dollar by Utilizing GARCH Models
	2021

[22]	Investment Risk Analysis On Bitcoin With Applied of VaR-APARCH Model
	2021

[23]	Efficiency of Tanzania's foreign exchange market
	2021

[24]	The effect of selected macroeconomic factors on exchange rate volatility in Sri Lanka
	International Journal of Applied Research and Studies, 2021

[25]	Modelling exchange rate volatility using GARCH models
	Gazi ?ktisat ve ??letme Dergisi, 2021

[26]	Türkiye'de Sepet Kur Volatilitesinin GARCH Modellemesi: Asimetri Etkisi Yaklaşımı
	Akademik Ara?t?rmalar ve ?al??malar Dergisi, 2021

[27]	Rwanda exchange rate time series analysis using Garch model
	2020

[28]	Volatility Forecast Incorporating Investors' Sentiment and its Application in Options Trading Strategies: A Behavioural Finance Approach at Nifty 50 Index
	2020

[29]	The Effect of Volatility on Future Volatility–GARCH and EGARCH Forecasts of Stock Prices and Volatility
	2020

[30]	Management of Foreign Exchange Risk: Evidence from Developing Economies
	2020

[31]	DÖVİZ KURU VOLATİLİTESİNİN DOĞRUSAL VE DOĞRUSAL OLMAYAN YÖNTEMLER İLE İNCELENMESİ
	2020

[32]	Dois ensaios em finanças comportamentais: teoria do prospecto, contabilidade mental e momentum no Brasil
	2020

[33]	Time series modelling, NARX neural network and hybrid KPCA–SVR approach to forecast the foreign exchange market in Mauritius
	2020

[34]	Effects of capital controls on foreign exchange liquidity
	2019

[35]	Foreign exchange volatility modeling of Southeast Asian major economies
	2019

[36]	EFFECT OF EXCHANGE RATE VOLATILITY ON MANUFACTURING SECTOR PERFORMANCE IN NIGERIA
	International Journal of Economics, Commerce and Management, 2019

[37]	DOMESTIC AND CROSS-BORDER EFFECTS OF GLOBAL FINANCIAL CRISIS
	2019

[38]	The Symptoms of Illness: Does Israel Suffer from “Dutch Disease”?
	2019

[39]	Modeling and Forecasting of Volatility using ARMA-GARCH: Case Study on Malaysia Natural Rubber Prices
	2019

[40]	Modeling exchange rate return volatility of RMB/USD using GARCH family models
	2019

[41]	Foreign exchange EURUSD forecasting: a time-series forecasting through periodic US economic event announcements
	2019

[42]	Taxas de câmbio: modelação ARMA-GARCH
	2019

[43]	Cyclical Behavior of Systemic Distress in the Banking Sector: An Empirical Investigation
	2019

[44]	Modeling and simulation of manufacture sector data in Malaysia with detection of outliers: An ARMA-GARCH approach
	2019

[45]	Effect of Exchange Rate Volatility on Sri Lanka's Inbound Tourist Flow
	2018

[46]	A Study of Volatility of Select Metals Traded in the Indian Commodity Market
	2018

[47]	Modeling with ARIMA-ARCH/GARCH Techniques to Estimate Weekly Exchange Rate of Liberia
	2018

[48]	Essays on exchange rate behaviour in South Africa
	2018

[49]	Returns and volatility of water investments
	Cogent Economics & Finance, 2018

[50]	Pound/US Dollar Exchange Rate: An Empirical Analysis
	2018

[51]	Unravelling the Cipher of Indian Rupee's Volatility: Testing the Forecasting Efficacy of the Rolling Symmetric and Asymmetric GARCH Models
	2018

[52]	Penggunaan MS Excel untuk Estimasi Model GARCH (1, 1)
	2018

[53]	Effect of Demonetisation of an Indian High Denomination Currencies on Indian Stock Market and its Relationship with Foreign Exchange Rate
	2018

[54]	Hubungan kondisi indikator nilai tukar riil dan IHSG dalam mendeteksi krisis keuangan di Indonesia menggunakan gabungan model volatilitas dan markov switching
	2017

[55]	TESTING OF VALUE AT RISK AND GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY IN CURRENCY EXCHANGE RATE IN …
	2017

[56]	Modeling and Forecasting of British Pound/US Dollar Exchange Rate: An Empirical Analysis
	Advances in Panel Data Analysis in Applied Economic Research, 2017

[57]	Quantifying the effect of investors' attention on stock market
	PLOS ONE, 2017

[58]	TESTING OF VALUE AT RISK AND GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY IN CURRENCY EXCHANGE RATE IN INDONESIA …
	Indian Journal of Scientific Research, 2017

[59]	An Arima-Lstm Model for Predicting Volatile Agricultural Price Series with Random Forest Technique


[60]	Predict the Parallel Market's Exchange Rate Volatility of Kip Per Dollar by ARCH Family Models


[61]	Aktualisasi model garch dan peramalan volatilitas retrun saham asia


[62]	Modelling and Forecasting of USD/TRY Exchange Rate Using ARMA-GARCH Approach


[63]	EFFECT OF MONETARY POLICY DYNAMICS ON EXCHANGE RATE VOLATILITY IN NIGERIA


[64]	MODELLING ASYMMETRIC THRESHOLD-GARCH OF EXCHANGE RATE RETURN VOLATILITY: EVIDENCE FROM SUB-SAHARA AFRICAN ECONOMIES

[1]	A new LASSO-BiLSTM-based ensemble learning approach for exchange rate forecasting Engineering Applications of Artificial Intelligence, 2024 DOI:10.1016/j.engappai.2023.107305

[2]	New methods of structural break detection and an ensemble approach to analyse exchange rate volatility of Indian rupee during coronavirus pandemic Journal of the Royal Statistical Society Series A: Statistics in Society, 2024 DOI:10.1093/jrsssa/qnad078

[3]	An ARIMA-LSTM model for predicting volatile agricultural price series with random forest technique Applied Soft Computing, 2023 DOI:10.1016/j.asoc.2023.110939

[4]	Comparative Analysis of ARIMA and GARCH Models for Forecasting Spot Gold Prices and Their Volatility: A Time Series Study 2023 IEEE International Conference on Recent Advances in Systems Science and Engineering (RASSE), 2023 DOI:10.1109/RASSE60029.2023.10363475

[5]	Modeling RMB Exchange Rate Volatility – Application of GARCH Family Models SHS Web of Conferences, 2023 DOI:10.1051/shsconf/202315402016

[6]	New methods of structural break detection and an ensemble approach to analyse exchange rate volatility of Indian rupee during coronavirus pandemic Journal of the Royal Statistical Society Series A: Statistics in Society, 2023 DOI:10.1093/jrsssa/qnad078

[7]	Studies in International Economics and Finance India Studies in Business and Economics, 2022 DOI:10.1007/978-981-16-7062-6_27

[8]	Analysing exchange rate volatility in India using GARCH family models SN Business & Economics, 2022 DOI:10.1007/s43546-022-00317-z

[9]	Time series modelling, NARX neural network and hybrid KPCA–SVR approach to forecast the foreign exchange market in Mauritius African Journal of Economic and Management Studies, 2021 DOI:10.1108/AJEMS-04-2019-0161

[10]	Türkiye’de Sepet Kur Volatilitesinin GARCH Modellemesi: Asimetri Etkisi Yaklaşımı Akademik Araştırmalar ve Çalışmalar Dergisi (AKAD), 2021 DOI:10.20990/kilisiibfakademik.796117

[11]	Efficiency of Tanzania's foreign exchange market African Development Review, 2021 DOI:10.1111/1467-8268.12538

[12]	Artificial Intelligence and Soft Computing Lecture Notes in Computer Science, 2021 DOI:10.1007/978-3-030-87986-0_12

[13]	DÖVİZ KURU VOLATİLİTESİNİN DOĞRUSAL VE DOĞRUSAL OLMAYAN YÖNTEMLER İLE İNCELENMESİ İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 2020 DOI:10.46928/iticusbe.763980

[14]	Volatility Forecast Incorporating Investors’ Sentiment and its Application in Options Trading Strategies: A Behavioural Finance Approach at Nifty 50 Index Vision: The Journal of Business Perspective, 2020 DOI:10.1177/0972262920914117

[15]	DÖVİZ KURU VOLATİLİTESİNİN DOĞRUSAL VE DOĞRUSAL OLMAYAN YÖNTEMLER İLE İNCELENMESİ İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 2020 DOI:10.46928/iticusbe.763980

[16]	Modeling and Forecasting of Volatility using ARMA-GARCH: Case Study on Malaysia Natural Rubber Prices IOP Conference Series: Materials Science and Engineering, 2019 DOI:10.1088/1757-899X/548/1/012023

[17]	Modeling and simulation of manufacture sector data in Malaysia with detection of outliers: An ARMA-GARCH approach IOP Conference Series: Materials Science and Engineering, 2019 DOI:10.1088/1757-899X/697/1/012012

[18]	Effects of capital controls on foreign exchange liquidity Journal of International Money and Finance, 2019 DOI:10.1016/j.jimonfin.2019.01.006

[19]	Modeling exchange rate return volatility of RMB/USD using GARCH family models Journal of Chinese Economic and Business Studies, 2019 DOI:10.1080/14765284.2019.1600933

[20]	The Symptoms of Illness: Does Israel Suffer from “Dutch Disease”? Energies, 2019 DOI:10.3390/en12142752

[21]	Returns and volatility of water investments Cogent Economics & Finance, 2018 DOI:10.1080/23322039.2018.1438724

[22]	Advances in Panel Data Analysis in Applied Economic Research Springer Proceedings in Business and Economics, 2018 DOI:10.1007/978-3-319-70055-7_35

[23]	Comparative analysis of three MCMC methods for estimating GARCH models IOP Conference Series: Materials Science and Engineering, 2018 DOI:10.1088/1757-899X/403/1/012061

[24]	Quantifying the effect of investors’ attention on stock market PLOS ONE, 2017 DOI:10.1371/journal.pone.0176836

Follow SCIRP

	+1 323-425-8868
	customer@scirp.org
	+86 18163351462(WhatsApp)
	1655362766

	Paper Publishing WeChat

Journal of Mathematical Finance

Journal of Mathematical Finance

Journals Menu

Home

About SCIRP

Service

Policies