Analysing exchange rate volatility in India using GARCH family models
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Medicine
Link
https://link.springer.com/content/pdf/10.1007/s43546-022-00317-z.pdf
Reference31 articles.
1. Atabani Adi A (2019) Modeling exchange rate return volatility of RMB/USD using GARCH family models. J Chin Econ Bus Stud 17(2):169–187. https://doi.org/10.1080/14765284.2019.1600933
2. Baillie RT, Bollerslev T, Mikkelsen HO (1996) Fractionally integrated generalized autoregressive conditional heteroskedasticity. J Econom 74(1):3–30. https://doi.org/10.1016/S0304-4076(95)01749-6
3. BIS Triennial Central Bank Survey (2019) Foreign exchange turnover in April 2019. BIS. Retrieved June 6, 2021, from https://www.bis.org/statistics/rpfx19_fx.htm
4. Black F (1976) Studies of stock price volatility changes. In: Proceedings of the 1976 Meeting of the Business and Economic Statistics Section, American Statistical Association, Washington DC, pp 177–181
5. Bollerslev T (1986) Generalized autoregressive conditional heteroskedasticity. J Econom 31(3):307–327
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