Volatility Analysis of the Selected Economies’ Exchange Rates

by Radek BEDNAŘÍK

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JEL classification

  • Foreign Exchange
  • International Finance Forecasting and Simulation: Models and Applications

Keywords

exchange rates, volatility, GARCH

Abstract

This paper is focused on the historical development of selected exchange rates' volatility, that is: AUD, CAD, DEM, DKK, EUR, FRF, GBP, JPY, SEK and CHF against USD. The paper aims to show that current relatively large increment of foreign exchange markets' volatility is nothing special in the historical context considering the length and the extent of the volatility clusters during turbulent periods. Using various kinds of (G)ARCH models of volatility and subsequent graphical analysis we were able to empirically confirm this statement.