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  • Modelling Volatility of the Exchange Rate of the Naira to . . .
    Modelling Volatility of the Exchange Rate of the Naira to major Currencies Reuben O David1, Hussaini G Dikko2 and Shehu U Gulumbe3 The exchange rate between the Naira and other currencies has continued to witness variability with depreciation This variability makes it difficult to predict returns
  • Modelling Volatility Persistence and Asymmetry of Naira . . .
    Modelling Volatility Persistence and Asymmetry of Naira-Dollar Exchange Rate Oyinlola N161 USD, a rate that was maintained until 2014 and 2015, when it depre- ciated again to N171 USD and N222 USD, respectively
  • Forecasting of Exchange Rate Volatility between Naira and . . .
    investigated the volatility modeling of daily Dollar Naira exchange rate using GARCH, GJR-GARCH, TGRACH and TS-GARCH models by using daily data over the period June 2000 to July 2011 The aim of the study is to determine volatility modeling of daily exchange rate between US (Dollar) and Nigeria (Naira)
  • Modelling Naira Dollar Exchange Rate Volatility . . .
    Modelling Naira Dollar Exchange Rate Volatility: Application Of Garch And Assymetric Models Olowe, Rufus Ayodeji1 This paper investigated the volatility of Naira Dollar exchange rates in Nigeria using GARCH (1,1), GJR-GARCH(1,1), EGARCH(1,1), APARCH(1,1), IGARCH(1,1) and TS-GARCH(1,1) models Using monthly data over the period
  • Modelling Naira Dollar Exchange Rate Volatility . . .
    Download Citation on ResearchGate | Modelling Naira Dollar Exchange Rate Volatility: Application Of Garch And Assymetric Models | This paper investigated the volatility of Naira Dollar exchange
  • Modelling Volatility Persistence and Asymmetry of Naira . . .
    If your browser does not support JavaScript, please read the page content below: Modelling Volatility Persistence and Asymmetry of Naira-Dollar Exchange Rate →→
  • Modelling the Volatility of Currency Exchange Rate Using . . .
    Modelling the Volatility of Currency Exchange Rate Using GARCH Model lag such as GARCH(I,l) is sufficient to model the variance changing over long sample periods (French et at 1987; Franses and Van Dijk 1996; Choo et al 1999) Even though the GARCH model can effectively remove the excess kurtosis in returns, it cannot cope with the skewness
  • Volatility of stock market returns and the naira exchange rate
    For our analysis, in order to capture asymmetric effects between stock market returns and volatility in the naira-dollar exchange rate, we adopted an asymmetric version of the VARMA-GARCH model developed by McAleer et al (2009) This model enabled us capture the presence or otherwise of interdependencies between the two markets as well as the conditional variances of each return series













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