Daily observations of log-returns for the foreign exchange

Reference no: EM132375669

Question: In EViews open ‘log returns 9 series.wf1' file that contains 1471 daily observations of log-returns for the foreign exchange, equity and bond markets in Japan, Europe and the US. Use 3 foreign exchange series to answer the following questions.

(a) Estimate GARCH, EGARCH and GJR models for each of the series and interpret coefficients in these models. Do you agree that the coefficients on the asymmetry terms are consistent to what would have been expected? Why?

(b) Compare volatility estimates obtained from part (a) with absolute returns in each of the markets. Is it true that absolute returns have similar patterns to volatility estimates across time?

(c) Plot News Impact Curves (NICs) for the European foreign exchange returns using coefficients implied from GARCH and EGARCH model estimates in part (a). Explain why these NICs are different.

Attachment:- foreign exchange series.rar

Reference no: EM132375669

Questions Cloud

When is merchant rule interest calculated : What situations is U.S. Rule interest calculated, and when is Merchant's Rule interest Calculated?

What is the irr of the incremental project : Suppose the hurdle rate of the firm is 10%. Calculate the cash flows of the "incremental project" by subtracting the cash flows

Why are long-term rates usually higher than short-term rates : Why are long-term rates usually higher than short-term rates? Why are short-term rates sometimes higher than long-term rates?

What is the npv if the firm accepts the subcontractor job : What is the NPV if the firm accepts the subcontractor job? (Show your work. Label $. No decimal places required. Highlight or bold your answer.)

Daily observations of log-returns for the foreign exchange : Estimate GARCH, EGARCH and GJR models for each of the series and interpret coefficients in these models. Do you agree that the coefficients on the asymmetry

Select using the the profitability index : You have a $1 million capital budget and must make the decision about which investments your firm should undertake for the coming year.

Interaction of exchange rates : Interaction of Exchange Rates: Assume that there are substantial capital flows among Canada, the United States, and Japan.

Calculate the bond current yield and ytm : A 13% semiannual coupon bond matures in 6 years. The bond has a face value of $1,000 and is currently trading at $1,174. Calculate the bond's current yield and

Describe local source of data use by public health officials : While public health surveillance has traditionally focused on infectious diseases, public health officials are now targeting environmental issues, occupational.

User Account

All Pages