Investigation of Efficiency of Stochastic Differential Equations Driven by Levy Process in Modeling of Exchange Rate Volatility (COGARCH Approach)

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RAFEI M.; Karimi shoushtari M.

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Journal Paper

Paper Information

Journal: JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN Year:2020 | Volume:8 | Issue:32 Page(s): 81-101

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Information Journal Paper

Title

Investigation of Efficiency of Stochastic Differential Equations Driven by Levy Process in Modeling of Exchange Rate Volatility (COGARCH Approach)

Author(s)

RAFEI M. | Karimi shoushtari M. | Issue Writer Certificate

Keywords

Stochastic Differential EquationsQ2

Levy ProcessQ1

GARCH ModelQ2

Continuous GARCH ModelQ1

Exchange MarketQ1

Abstract

Considering the price of the exchange rate and its volatility plays a significant role in financial decisions and economic transactions affected by large and small economic groups. In this study, we have tried to provide continuous modeling for exchange rate data in Iran with the support of a stochastic differential equation driven by the Levy Process (that named continuous GARCH Model) and check out the fitting exchange rate volatility on this model. Accordingly, we use the daily data of the unofficial exchange rate (the value of the US dollar against the Iranian Rial in the free market) from March 2009 to March 2018. We also challenge the performance of the models with time-varying volatility under the continuous features in comparison to the discrete GARCH Model. Finally, according to investigating the efficiency of this model coinciding with the results of the measurement error criterion, the preference of the new continuous model is expressed.

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APA: Copy

RAFEI, M., & Karimi shoushtari, M.. (2020). Investigation of Efficiency of Stochastic Differential Equations Driven by Levy Process in Modeling of Exchange Rate Volatility (COGARCH Approach). JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN, 8(32 ), 81-101. SID. https://sid.ir/paper/387342/en

Vancouver: Copy

RAFEI M., Karimi shoushtari M.. Investigation of Efficiency of Stochastic Differential Equations Driven by Levy Process in Modeling of Exchange Rate Volatility (COGARCH Approach). JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN[Internet]. 2020;8(32 ):81-101. Available from: https://sid.ir/paper/387342/en

IEEE: Copy

M. RAFEI, and M. Karimi shoushtari, “Investigation of Efficiency of Stochastic Differential Equations Driven by Levy Process in Modeling of Exchange Rate Volatility (COGARCH Approach),” JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN, vol. 8, no. 32 , pp. 81–101, 2020, [Online]. Available: https://sid.ir/paper/387342/en

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