Munich Personal RePEc Archive

Continuous Modeling of Foreign Exchange Rate of USD versus TRY

Ari, Yakup and Unal, Gazanfer (2010): Continuous Modeling of Foreign Exchange Rate of USD versus TRY.

[img]
Preview
PDF
MPRA_paper_29241.pdf

Download (483kB) | Preview

Abstract

This study aims to construct continuous-time autoregressive (CAR) model and continuous-time GARCH (COGARCH) model from discrete time data of foreign exchange rate of United States Dollar (USD) versus Turkish Lira (TRY). These processes are solutions to stochastic differential equation Lévy-driven processes. We have shown that CAR(1) and COGARCH(1,1) processes are proper models to represent foreign exchange rate of USD and TRY for different periods of time February 2002- June 2010

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.