EN
The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic Approach to Investigating the Foreign Exchange Forward Premium Volatility
Abstract
This paper empirically investigates the volatility dynamics of the EUR/USD forward premium via GARCH-M (1,1) and GJR-GARCH(1,1) and GJR-GARCH(1,1)-M models. Our empirical analysis is based on daily data related to the EUR/USD forward premiums. Our daily analysis reveals several results. Firstly, we confirm that the nine-month and one-year forward premiums are explained in large part by their conditional variances. Secondly, according to the theoretical predictions of the asymmetric framework, we show that the conditional variances equations exhibit an asymmetry in the dynamics of the conditional variance only for the 9 months and 12 months horizons. Thirdly, for the -6-month, 9-month and 12-month forward premiums; the GJR-GARCH in mean effect is totally absent.
Keywords
Details
Primary Language
English
Subjects
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Journal Section
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Publication Date
September 1, 2016
Submission Date
September 1, 2016
Acceptance Date
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Published in Issue
Year 2016 Volume: 6 Number: 4
APA
Hamzaoui, N., & Regaieg, B. (2016). The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic Approach to Investigating the Foreign Exchange Forward Premium Volatility. International Journal of Economics and Financial Issues, 6(4), 1608-1615. https://izlik.org/JA29EE33ML
AMA
1.Hamzaoui N, Regaieg B. The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic Approach to Investigating the Foreign Exchange Forward Premium Volatility. IJEFI. 2016;6(4):1608-1615. https://izlik.org/JA29EE33ML
Chicago
Hamzaoui, Nessrine, and Boutheina Regaieg. 2016. “The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic Approach to Investigating the Foreign Exchange Forward Premium Volatility”. International Journal of Economics and Financial Issues 6 (4): 1608-15. https://izlik.org/JA29EE33ML.
EndNote
Hamzaoui N, Regaieg B (September 1, 2016) The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic Approach to Investigating the Foreign Exchange Forward Premium Volatility. International Journal of Economics and Financial Issues 6 4 1608–1615.
IEEE
[1]N. Hamzaoui and B. Regaieg, “The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic Approach to Investigating the Foreign Exchange Forward Premium Volatility”, IJEFI, vol. 6, no. 4, pp. 1608–1615, Sept. 2016, [Online]. Available: https://izlik.org/JA29EE33ML
ISNAD
Hamzaoui, Nessrine - Regaieg, Boutheina. “The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic Approach to Investigating the Foreign Exchange Forward Premium Volatility”. International Journal of Economics and Financial Issues 6/4 (September 1, 2016): 1608-1615. https://izlik.org/JA29EE33ML.
JAMA
1.Hamzaoui N, Regaieg B. The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic Approach to Investigating the Foreign Exchange Forward Premium Volatility. IJEFI. 2016;6:1608–1615.
MLA
Hamzaoui, Nessrine, and Boutheina Regaieg. “The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic Approach to Investigating the Foreign Exchange Forward Premium Volatility”. International Journal of Economics and Financial Issues, vol. 6, no. 4, Sept. 2016, pp. 1608-15, https://izlik.org/JA29EE33ML.
Vancouver
1.Nessrine Hamzaoui, Boutheina Regaieg. The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic Approach to Investigating the Foreign Exchange Forward Premium Volatility. IJEFI [Internet]. 2016 Sep. 1;6(4):1608-15. Available from: https://izlik.org/JA29EE33ML