Intraday and inter-market volatility of foreign exchange rates of Philippines, Indonesia and Thailand using ARCH/GARCH model, Johansen cointergration test and Granger causality
This research paper mainly determines the intraday volatility of the Philippine peso, Indonesian rupiah, and Thai baht vis-a-vis the U.S. dollar. In line with his, this paper also prove the reasons and causes behind the intraday volatility by showing the level of currency volatility, trends in curre...
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Main Authors: | , , , |
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Format: | text |
Language: | English |
Published: |
Animo Repository
2016
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Subjects: | |
Online Access: | https://animorepository.dlsu.edu.ph/etd_bachelors/7761 |
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Institution: | De La Salle University |
Language: | English |
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