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:: Volume 25, Issue 84 (quartery journal of Economic Research and Policies 2018) ::
3 2018, 25(84): 191-224 Back to browse issues page
Introduction of New Indicators of Exchange Rate Volatility Based on the Hybrid Model of Wavelet-GARCH
Hamid Abrishami Dr , Akbar Komijani Dr, Mohsen Mehrara Dr, Mahdi Nouri Mr
Professor of Economics University of Tehran , abrishami_hamid@yahoo.com
Abstract:   (492 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.
 
 
 
Keywords: Exchange rate volatility, Wavelet Decomposition, GARCH
Full-Text [PDF 1504 kb]   (218 Downloads)    
Type of Study: Applicable | Subject: Special
Received: 2017/07/24 | Accepted: 2018/03/11 | Published: 2018/03/11
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Abrishami H, Komijani A, Mehrara M, Nouri M. Introduction of New Indicators of Exchange Rate Volatility Based on the Hybrid Model of Wavelet-GARCH . 3. 2018; 25 (84) :191-224
URL: http://qjerp.ir/article-1-1823-en.html


Volume 25, Issue 84 (quartery journal of Economic Research and Policies 2018) Back to browse issues page
فصلنامه پژوهشها و سیاستهای اقتصادی Journal of Economic Research and Policies
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