Verwandte Artikel zu Modelling the exchange rate volatility of Kazakh Tenge
Inhaltsangabe
This book examines the volatility of Kazakh Tenge against five main trading currencies, namely: the US dollar, Euro, Russian Rouble, Ukrainian Hryvnia and Chinese Yuan. 4552 daily exchange rates data, from National Bank of Kazakhstan were used in the analysis. The ARCH family, conditional variance models were chosen as a method for modelling volatility. Six main representative models of this family, namely are: ARCH and GARCH models (for capturing the heteroscedasticity), GJR (TGARCH) and EGARCH models (for capturing the leverage effects), IGARCH and FIGARCH models (to account for long memory shock effects) were further selected. Afterward, the static, one-step-ahead forecast was conducted. The forecast results are then compared using the root mean squared error (RMSE) and the mean absolute error (MAE) performance measurement criteria. According to both RMSE and MAE results, the US dollar, Chinese Yuan, Russian Rouble and Ukrainian Hryvnia are best forecasted by simple ARCH model, and Euro is best forecasted by an asymmetric GJR model. The long memory IGARCH and FIGARCH models did not show the best forecasting performance in none of the five currencies examined.
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Über die Autorin bzw. den Autor
Alisher was born in Shymkent, Kazakhstan. He is married and has two daughters. Currently, he is doing his PhD at Leibniz Institute of Agricultural Development in Transition Economies (IAMO), Halle, Germany. Before joining the institute, he has worked as a lecturer in the Business School of Suleyman Demirel University in Almaty, Kazakhstan.
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Modelling the exchange rate volatility of Kazakh Tenge
Verlag:
LAP LAMBERT Academic Publishing Mrz 2018, 2018
ISBN 10: 6139575222
ISBN 13: 9786139575220
Neu
Taschenbuch
Anbieter: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Deutschland
Verkäuferbewertung 5 von 5 Sternen
Taschenbuch. Zustand: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This book examines the volatility of Kazakh Tenge against five main trading currencies, namely: the US dollar, Euro, Russian Rouble, Ukrainian Hryvnia and Chinese Yuan. 4552 daily exchange rates data, from National Bank of Kazakhstan were used in the analysis. The ARCH family, conditional variance models were chosen as a method for modelling volatility. Six main representative models of this family, namely are: ARCH and GARCH models (for capturing the heteroscedasticity), GJR (TGARCH) and EGARCH models (for capturing the leverage effects), IGARCH and FIGARCH models (to account for long memory shock effects) were further selected. Afterward, the static, one-step-ahead forecast was conducted. The forecast results are then compared using the root mean squared error (RMSE) and the mean absolute error (MAE) performance measurement criteria. According to both RMSE and MAE results, the US dollar, Chinese Yuan, Russian Rouble and Ukrainian Hryvnia are best forecasted by simple ARCH model, and Euro is best forecasted by an asymmetric GJR model. The long memory IGARCH and FIGARCH models did not show the best forecasting performance in none of the five currencies examined. 60 pp. Englisch. Bestandsnummer des Verkäufers 9786139575220
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Modelling the exchange rate volatility of Kazakh Tenge
Verlag:
LAP LAMBERT Academic Publishing, 2018
ISBN 10: 6139575222
ISBN 13: 9786139575220
Neu
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Paperback. Zustand: Brand New. 60 pages. 8.66x5.91x0.14 inches. In Stock. Bestandsnummer des Verkäufers zk6139575222
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Modelling the exchange rate volatility of Kazakh Tenge
Verlag:
LAP LAMBERT Academic Publishing, 2018
ISBN 10: 6139575222
ISBN 13: 9786139575220
Neu
Taschenbuch
Anbieter: AHA-BUCH GmbH, Einbeck, Deutschland
Verkäuferbewertung 5 von 5 Sternen
Taschenbuch. Zustand: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - This book examines the volatility of Kazakh Tenge against five main trading currencies, namely: the US dollar, Euro, Russian Rouble, Ukrainian Hryvnia and Chinese Yuan. 4552 daily exchange rates data, from National Bank of Kazakhstan were used in the analysis. The ARCH family, conditional variance models were chosen as a method for modelling volatility. Six main representative models of this family, namely are: ARCH and GARCH models (for capturing the heteroscedasticity), GJR (TGARCH) and EGARCH models (for capturing the leverage effects), IGARCH and FIGARCH models (to account for long memory shock effects) were further selected. Afterward, the static, one-step-ahead forecast was conducted. The forecast results are then compared using the root mean squared error (RMSE) and the mean absolute error (MAE) performance measurement criteria. According to both RMSE and MAE results, the US dollar, Chinese Yuan, Russian Rouble and Ukrainian Hryvnia are best forecasted by simple ARCH model, and Euro is best forecasted by an asymmetric GJR model. The long memory IGARCH and FIGARCH models did not show the best forecasting performance in none of the five currencies examined. Bestandsnummer des Verkäufers 9786139575220
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Modelling the exchange rate volatility of Kazakh Tenge
Verlag:
LAP LAMBERT Academic Publishing, 2018
ISBN 10: 6139575222
ISBN 13: 9786139575220
Neu
Softcover
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Zustand: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Tleubayev AlisherAlisher was born in Shymkent, Kazakhstan. He is married and has two daughters. Currently, he is doing his PhD at Leibniz Institute of Agricultural Development in Transition Economies (IAMO), Halle, Germany. Before jo. Bestandsnummer des Verkäufers 385864393
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Modelling the exchange rate volatility of Kazakh Tenge
Verlag:
LAP LAMBERT Academic Publishing Mär 2018, 2018
ISBN 10: 6139575222
ISBN 13: 9786139575220
Neu
Taschenbuch
Anbieter: buchversandmimpf2000, Emtmannsberg, BAYE, Deutschland
Verkäuferbewertung 5 von 5 Sternen
Taschenbuch. Zustand: Neu. This item is printed on demand - Print on Demand Titel. Neuware -This book examines the volatility of Kazakh Tenge against five main trading currencies, namely: the US dollar, Euro, Russian Rouble, Ukrainian Hryvnia and Chinese Yuan. 4552 daily exchange rates data, from National Bank of Kazakhstan were used in the analysis. The ARCH family, conditional variance models were chosen as a method for modelling volatility. Six main representative models of this family, namely are: ARCH and GARCH models (for capturing the heteroscedasticity), GJR (TGARCH) and EGARCH models (for capturing the leverage effects), IGARCH and FIGARCH models (to account for long memory shock effects) were further selected. Afterward, the static, one-step-ahead forecast was conducted. The forecast results are then compared using the root mean squared error (RMSE) and the mean absolute error (MAE) performance measurement criteria. According to both RMSE and MAE results, the US dollar, Chinese Yuan, Russian Rouble and Ukrainian Hryvnia are best forecasted by simple ARCH model, and Euro is best forecasted by an asymmetric GJR model. The long memory IGARCH and FIGARCH models did not show the best forecasting performance in none of the five currencies examined.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 60 pp. Englisch. Bestandsnummer des Verkäufers 9786139575220
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Modelling the exchange rate volatility of Kazakh Tenge
Verlag:
LAP LAMBERT Academic Publishing, 2018
ISBN 10: 6139575222
ISBN 13: 9786139575220
Neu
Taschenbuch
Anbieter: preigu, Osnabrück, Deutschland
Verkäuferbewertung 5 von 5 Sternen
Taschenbuch. Zustand: Neu. Modelling the exchange rate volatility of Kazakh Tenge | Alisher Tleubayev | Taschenbuch | 60 S. | Englisch | 2018 | LAP LAMBERT Academic Publishing | EAN 9786139575220 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu. Bestandsnummer des Verkäufers 113487703
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