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Scientific paper - Preliminary note / Short communication
MODELING EXCHANGE RATE VOLATILITIES IN CROATIA
Ekonomski vjesnik : Review of Contemporary Entrepreneurship, Business, and Economic Issues, 29 (2016), 1; 81-94. urn:nbn:hr:145:426269
Bošnjak, Mile; Bilas, Vlatka; Novak, Ivan

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Bošnjak, M., Bilas, V. & Novak, I. (2016). MODELING EXCHANGE RATE VOLATILITIES IN CROATIA. Ekonomski vjesnik : Review of Contemporary Entrepreneurship, Business, and Economic Issues, 29. (1), 81-94. Retrieved from https://urn.nsk.hr/urn:nbn:hr:145:426269

Bošnjak, Mile, et al. "MODELING EXCHANGE RATE VOLATILITIES IN CROATIA." Ekonomski vjesnik : Review of Contemporary Entrepreneurship, Business, and Economic Issues, vol. 29, no. 1, 2016, pp. 81-94. https://urn.nsk.hr/urn:nbn:hr:145:426269

Bošnjak, Mile, Vlatka Bilas and Ivan Novak. "MODELING EXCHANGE RATE VOLATILITIES IN CROATIA." Ekonomski vjesnik : Review of Contemporary Entrepreneurship, Business, and Economic Issues 29, no. 1 (2016): 81-94. https://urn.nsk.hr/urn:nbn:hr:145:426269

Bošnjak, M., Bilas, V. and Novak, I. (2016) 'MODELING EXCHANGE RATE VOLATILITIES IN CROATIA', Ekonomski vjesnik : Review of Contemporary Entrepreneurship, Business, and Economic Issues, 29(1), pp. 81-94. Available at: https://urn.nsk.hr/urn:nbn:hr:145:426269 (Accessed 18 April 2024)

Bošnjak M, Bilas V, Novak I. MODELING EXCHANGE RATE VOLATILITIES IN CROATIA. Ekonomski vjesnik : Review of Contemporary Entrepreneurship, Business, and Economic Issues [Internet]. 2016 June 30 [cited 2024 April 18];29(1):81-94. Available at: https://urn.nsk.hr/urn:nbn:hr:145:426269

M. Bošnjak, V. Bilas and I. Novak, "MODELING EXCHANGE RATE VOLATILITIES IN CROATIA", Ekonomski vjesnik : Review of Contemporary Entrepreneurship, Business, and Economic Issues, vol. 29, no. 1, pp. 81-94, June 2016. [Online]. Available at: https://urn.nsk.hr/urn:nbn:hr:145:426269. [Accessed: 18 April 2024]

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Metadata
Title (english)MODELING EXCHANGE RATE VOLATILITIES IN CROATIA
AuthorMile Bošnjak
AuthorVlatka Bilas
AuthorIvan Novak
Author's institutionUniversity of Zagreb
Faculty of Economics and Business
Scientific / art field,
discipline and subdiscipline		SOCIAL SCIENCES
Economics
Abstract (english)
Modeling and forecasting exchange rate volatility has important implications in a range of areas in macroeconomics and finance. A number of models have been developed in empirical finance literature to investigate this volatility across different regions and countries. Well known and frequently applied models to estimate exchange rate volatility are the autoregressive conditional heteroscedastic (ARCH) model advanced by Engle (1982) and the generalized (GARCH) model developed independently by Bollerslev (1986) and Taylor (1986). This paper examines the performance of several ARCH models for the EUR and USD against the HRK on daily data sets within the time period from 1997 to 2015. Evaluating the models through standard information criteria showed that the GARCH (2,1) is the best fitted model  for the EUR/HRK and the GARCH (1,1) for the USD/HRK daily return volatility. In accordance to the estimated models there is no empirical evidence that negative and positive shocks imply a different next period volatility of the daily EUR/HRK as well as the USD/HRK exchange rate return.
Keywords (english)
Languageenglish
Publication typeScientific paper - Preliminary note / Short communication
Publication statusPublished
Peer reviewPeer review - international
Publication versionPublished version
Journal titleEkonomski vjesnik : Review of Contemporary Entrepreneurship, Business, and Economic Issues
Numberingvol. 29, no. 1, pp. 81-94
p-ISSN0353-359X
e-ISSN1847-2206
URN:NBNurn:nbn:hr:145:426269
Publication2016-06-30
Document URLhttp://hrcak.srce.hr/161035
Type of resourceText
Access conditionsOpen access
Terms of useLicence Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) icon
RepositoryEFOS REPOSITORY
Created on2017-02-17 08:23:10