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The exchange rate volatility in the Central and Eastern European Countries

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  • 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
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    References listed on IDEAS

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    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. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    4. 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.
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    Cited by:

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