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Introduction of New Indicators of Exchange Rate Volatility
Based on the Hybrid Model of Wavelet-GARCH
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Hamid Abrishami *   , Akbar Komijani , Mohsen Mehrara , Mahdi Nouri |
| University of Tehran , abrishami_hamid@yahoo.com |
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Abstract: (13485 Views) |
As one of the most important economic variables, exchange rate imposes many risks on another sectors of the economy. One of the important functions of the central banks is to proper manage these fluctuations in the foreign exchange market and to reduce the risks it poses to economic activists in the short, medium and long-term periods. This study introduces and estimates new indicators of exchange rate fluctuations in different time scales to manage the exchange rate fluctuations more appropriately according to the central bank's approach. This method utilizes the combination of the wavelet and GARCH models, and data is collected from Iran’s foreign exchange market for the period of Sep-2008 to 2015.
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| Keywords: Exchange rate volatility, Wavelet Decomposition, GARCH |
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Full-Text [PDF 1504 kb]
(1785 Downloads)
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Type of Study: Applicable |
Subject:
Special
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