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Year 2016, Volume: 6 Issue: 4, 1608 - 1615, 01.09.2016

Nessrine Hamzaoui Boutheina Regaieg

Abstract

The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic Approach to Investigating the Foreign Exchange Forward Premium Volatility

Year 2016, Volume: 6 Issue: 4, 1608 - 1615, 01.09.2016

Nessrine Hamzaoui Boutheina Regaieg

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

Conditional Volatility Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic Generalized Autoregressive Conditional Heteroscedasticity Volatility Persistence

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Details

Other ID JA23ZB33HY
Journal Section Research Article
Authors

Nessrine Hamzaoui This is me

Boutheina Regaieg This is me

Publication Date September 1, 2016
Published in Issue Year 2016 Volume: 6 Issue: 4

Cite

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.
AMA Hamzaoui N, Regaieg B. The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic Approach to Investigating the Foreign Exchange Forward Premium Volatility. IJEFI. September 2016;6(4):1608-1615.
Chicago 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 6, no. 4 (September 2016): 1608-15.
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 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, 2016.
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 2016), 1608-1615.
JAMA 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, 2016, pp. 1608-15.
Vancouver 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):1608-15.