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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. i Novak, I. (2016). MODELING EXCHANGE RATE VOLATILITIES IN CROATIA. Ekonomski vjesnik : Review of Contemporary Entrepreneurship, Business, and Economic Issues, 29. (1), 81-94. Preuzeto s 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, br. 1, 2016, str. 81-94. https://urn.nsk.hr/urn:nbn:hr:145:426269

Bošnjak, Mile, Vlatka Bilas i Ivan Novak. "MODELING EXCHANGE RATE VOLATILITIES IN CROATIA." Ekonomski vjesnik : Review of Contemporary Entrepreneurship, Business, and Economic Issues 29, br. 1 (2016): 81-94. https://urn.nsk.hr/urn:nbn:hr:145:426269

Bošnjak, M., Bilas, V. i Novak, I. (2016) 'MODELING EXCHANGE RATE VOLATILITIES IN CROATIA', Ekonomski vjesnik : Review of Contemporary Entrepreneurship, Business, and Economic Issues, 29(1), str. 81-94. Preuzeto s: https://urn.nsk.hr/urn:nbn:hr:145:426269 (Datum pristupa: 30.12.2024.)

Bošnjak M, Bilas V, Novak I. MODELING EXCHANGE RATE VOLATILITIES IN CROATIA. Ekonomski vjesnik : Review of Contemporary Entrepreneurship, Business, and Economic Issues [Internet]. 30.06.2016. [pristupljeno 30.12.2024.];29(1):81-94. Dostupno na: https://urn.nsk.hr/urn:nbn:hr:145:426269

M. Bošnjak, V. Bilas i I. Novak, "MODELING EXCHANGE RATE VOLATILITIES IN CROATIA", Ekonomski vjesnik : Review of Contemporary Entrepreneurship, Business, and Economic Issues, vol. 29, br. 1, str. 81-94, Lipanj 2016. [Online]. Dostupno na: https://urn.nsk.hr/urn:nbn:hr:145:426269. [Citirano: 30.12.2024.]

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Podaci o radu
Naslov (engleski)MODELING EXCHANGE RATE VOLATILITIES IN CROATIA
AutorMile Bošnjak
AutorVlatka Bilas
AutorIvan Novak
Autorova ustanovaSveučilište u Zagrebu
Ekonomski fakultet
Znanstveno / umjetničko
područje, polje i grana		DRUŠTVENE ZNANOSTI
Ekonomija
Sažetak (engleski)
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.
Ključne riječi (engleski)
Jezikengleski
Vrsta publikacijeZnanstveni rad - Prethodno/kratko priopćenje
Status objaveObjavljen
Vrsta recenzijeRecenziran - međunarodna recenzija
Verzija publikacijeObjavljena verzija rada (izdavačev PDF)
Naslov časopisaEkonomski vjesnik : Review of Contemporary Entrepreneurship, Business, and Economic Issues
Brojčani podacivol. 29, br. 1, str. 81-94
p-ISSN0353-359X
e-ISSN1847-2206
URN:NBNurn:nbn:hr:145:426269
Datum objave publikacije2016-06-30
URL dokumentahttp://hrcak.srce.hr/161035
Vrsta resursaTekst
Prava pristupaOtvoreni pristup
Uvjeti korištenjaIkona licence Imenovanje-Nekomercijalno-Bez prerada 4.0 međunarodna (CC BY-NC-ND 4.0)
Datum i vrijeme pohrane2017-02-17 08:23:10