文章基本信息

标题：AN ARCH MODEL OF ROMANIAN EXCHANGE RATE
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作者：Zapodeanu, Daniela ; Cociuba, Mihail Ioan
期刊名称：Theoretical and Applied Economics
印刷版ISSN：1841-8678
电子版ISSN：1844-0029
出版年度：2011
卷号：5(558)(supplement)
期号：5(558)(supplement)
页码：710-716
出版社：Asociatia Generala a Economistilor din Romania - AGER
摘要：After the accession to the European Union our country has experienced massive capital inflows that have affected the evolution of the exchange rate. Looking at the exchange rate we observe a break in the national currency appreciation due to the economic crisis, the series are heteroskedastic and asymmetric. For the modeling of exchange rate series we use a time series model that includes component heteroskedasticitate, ARCH model. with normal distribution.
关键词：exchange rate; ARCH; heteroskedasticity; economic crises.