نوع مقاله : مقاله پژوهشی
نویسندگان
1 دانشیار اقتصاد سنجی و آمار اجتماعی دانشکده اقتصاد دانشگاه مازندران
2 کارشناس ارشد اقتصاد
چکیده
کلیدواژهها
عنوان مقاله [English]
نویسندگان [English]
The main purpose in this article has been to evaluate the exchange rate volatility in Iran using the family of the ARCH models. Doing so, the symmetric GARCH and asymmetric TARCH, EGARCH and APGARCH models are applied. The results have indicated that the volatility caused by the bad (negative) news is relatively larger than that caused by the good (positive) news.
کلیدواژهها [English]