A Conditional Variance Model for Daily Deviations of an Exchange Rate |
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| Authors: | Anders Milhøj |
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| Institution: | Institute of Statistics, University of Copenhagen , Studiestraede 6, DK-1455 Copenhagen K, Denmark |
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| 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. |
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| Keywords: | ARCH model Autoregressive Heteroscedasticity Time series |
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