IDEAS home Printed from https://ideas.repec.org/a/agr/journl/vxxiiy2015i2(603)p189-198.html
   My bibliography  Save this article

The exchange rate volatility in the Central and Eastern European Countries

Author

Listed:
  • Bogdan Andrei DUMITRESCU

    (Bucharest University of Economic Studies, Romania)

  • Silvia Maria ROȘCA

    (Bucharest University of Economic Studies, Romania)

Abstract

The present research aims to model the volatility of the currencies from Romania, the Czech Republic, Hungary and Poland in the period 2005-2014, by identifying a robust econometric model, as well as to determine the empirical values of the long term volatility and expected volatility at the end of the analyzed period. The results obtained have confirmed the validity of the GARCH (1,1) model and the unconditional volatility expressed in annual terms is relatively close for all four currencies, respectively between 8% - 10.6%. However, the values expected for the end of 2014 show significant deviations from the long term volatility, with the largest deviation registered in the case of the RON.

Suggested Citation

  • Bogdan Andrei DUMITRESCU & Silvia Maria ROȘCA, 2015. "The exchange rate volatility in the Central and Eastern European Countries," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(603), S), pages 189-198, Summer.
    • Handle: RePEc:agr:journl:v:xxii:y:2015:i:2(603):p:189-198
    as

    Download full text from publisher

    File URL: http://store.ectap.ro/articole/1094.pdf
    Download Restriction: no
    File URL: http://www.ectap.ro/articol.php?id=1094&rid=119
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Kocenda, Evzen & Valachy, Juraj, 2006. "Exchange rate volatility and regime change: A Visegrad comparison," Journal of Comparative Economics, Elsevier, vol. 34(4), pages 727-753, December.
    2. Asger Lunde & Peter R. Hansen, 2005. "A forecast comparison of volatility models: does anything beat a GARCH(1,1)?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 873-889.
    3. Fidrmuc, Jarko & Horváth, Roman, 2008. "Volatility of exchange rates in selected new EU members: Evidence from daily data," Economic Systems, Elsevier, vol. 32(1), pages 103-118, March.
    4. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Efimova Elena & Vroblevskaya Svetlana, 2019. "Are Eastern Baltic Ports the drivers of Eurasian trade?," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 55(3), pages 268-281, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. repec:agr:journl:v:2(602):y:2015:i:2(602):p:189-198 is not listed on IDEAS
    2. Michael Frömmel, 2010. "Volatility Regimes in Central and Eastern European Countries’ Exchange Rates," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(1), pages 2-21, February.
    3. Jan Vejmělek, 2016. "Some stylised facts about the exchange rate behaviour of Central European currencies," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2016(2), pages 3-17.
    4. Ngo Thai Hung, 2021. "Volatility Behaviour of the Foreign Exchange Rate and Transmission Among Central and Eastern European Countries: Evidence from the EGARCH Model," Global Business Review, International Management Institute, vol. 22(1), pages 36-56, February.
    5. Liang, Yousha & Shi, Kang & Wang, Lisheng & Xu, Juanyi, 2019. "Fluctuation and reform: A tale of two RMB markets," China Economic Review, Elsevier, vol. 53(C), pages 30-52.
    6. Minot, Nicholas, 2014. "Food price volatility in sub-Saharan Africa: Has it really increased?," Food Policy, Elsevier, vol. 45(C), pages 45-56.
    7. N. Antonakakis & J. Darby, 2013. "Forecasting volatility in developing countries' nominal exchange returns," Applied Financial Economics, Taylor & Francis Journals, vol. 23(21), pages 1675-1691, November.
    8. Takahashi, Makoto & Watanabe, Toshiaki & Omori, Yasuhiro, 2016. "Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution," International Journal of Forecasting, Elsevier, vol. 32(2), pages 437-457.
    9. Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik, 2015. "Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting?," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 135-152.
    10. Qingfeng Liu & Qingsong Yao & Guoqing Zhao, 2020. "Model averaging estimation for conditional volatility models with an application to stock market volatility forecast," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 841-863, August.
    11. David E. Rapach & Jack K. Strauss, 2008. "Structural breaks and GARCH models of exchange rate volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 65-90.
    12. Auer, Benjamin R. & Rottmann, Horst, 2014. "Is there a Friday the 13th effect in emerging Asian stock markets?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 1(C), pages 17-26.
    13. Bouezmarni, Taoufik & Rombouts, Jeroen V.K., 2010. "Nonparametric density estimation for positive time series," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 245-261, February.
    14. D Büttner & B. Hayo, 2012. "EMU-related news and financial markets in the Czech Republic, Hungary and Poland," Applied Economics, Taylor & Francis Journals, vol. 44(31), pages 4037-4053, November.
    15. Daniel Stavarek, 2011. "European exchange rates volatility and its asymmetrical components during the financial crisis," MENDELU Working Papers in Business and Economics 2011-17, Mendel University in Brno, Faculty of Business and Economics.
    16. Vacca, Gianmarco & Zoia, Maria Grazia & Bagnato, Luca, 2022. "Forecasting in GARCH models with polynomially modified innovations," International Journal of Forecasting, Elsevier, vol. 38(1), pages 117-141.
    17. Valeria V. Lakshina, 2014. "The Fluke Of Stochastic Volatility Versus Garch Inevitability : Which Model Creates Better Forecasts?," HSE Working papers WP BRP 37/FE/2014, National Research University Higher School of Economics.
    18. Bubák, Vít & Kocenda, Evzen & Zikes, Filip, 2011. "Volatility transmission in emerging European foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2829-2841, November.
    19. Smith, Daniel R., 2007. "Conditional coskewness and asset pricing," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 91-119, January.
    20. Barbara Będowska-Sójka, 2018. "Is intraday data useful for forecasting VaR? The evidence from EUR/PLN exchange rate," Risk Management, Palgrave Macmillan, vol. 20(4), pages 326-346, November.
    21. Javed Farrukh & Podgórski Krzysztof, 2017. "Tail Behavior and Dependence Structure in the APARCH Model," Journal of Time Series Econometrics, De Gruyter, vol. 9(2), pages 1-48, July.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:agr:journl:v:xxii:y:2015:i:2(603):p:189-198. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mircea Dinu (email available below). General contact details of provider: https://edirc.repec.org/data/agerrea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.