文章基本信息

标题：Measuring dynamic dependency using time-varying copulas with extended parameters: Evidence from exchange rates data
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作者：Atina Ahdika ; Dedi Rosadi ; Adhitya Ronnie Effendie 等
期刊名称：MethodsX
印刷版ISSN：2215-0161
电子版ISSN：2215-0161
出版年度：2021
卷号：8
页码：1-16
DOI：10.1016/j.mex.2021.101322
语种：English
出版社：Elsevier
摘要：AbstractThis study proposes a novel approach that investigates the dynamic dependency among exchange rates by extending time-varying copulas' parameters following an autoregressive moving average (ARMA) process. The process consists of an autoregressive part that explains the effect of the previous parameters and a forcing variable that measures the dependence structure between marginal variables. We apply this model to the daily data of the exchange rates of five Asian countries with the strongest economies before and during the 2020 pandemic, namely CNY/USD, IDR/USD, INR/USD, JPY/USD, and KRW/USD. The ARIMA-GARCH model was used to model the exchange rates data and estimate the dynamic dependence using time-varying copulas with the extended parameters. The dynamic dependencies between Chinas and the four countries' exchange rates before and during the 2020 pandemic was evidenced. Moreover, India is the country whose exchange rate has been most strongly affected by the pandemic. Some of the highlights of the proposed approach are:•This paper provides two algorithms to investigate the dynamic dependencies among exchange rates data during a crisis and forecast the data using time-varying copulas with the extended parameters.•There are four extended time-varying copulas' parameters which can measure the dynamic dependencies between variables.•The computation procedure is easy to implement.Graphical AbstractDisplay Omitted
关键词：ARIMA-GARCH;Dynamic parameter;Forcing variable;Time-varying copulas;Exchange rates