A Conditional Variance Model for Daily Deviations of an Exchange Rate
- 1 January 1987
- journal article
- research article
- Published by Informa UK Limited in Journal of Business & Economic Statistics
- Vol. 5 (1), 99-103
- https://doi.org/10.1080/07350015.1987.10509564
Abstract
A model for the distribution of daily deviations of an exchange rate is suggested. The distribution is Gaussian with a variance that depends on previous deviations. The model is applied to the exchange rate of the U.S. dollar to special drawing rights.Keywords
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