Árfolyamvolatilitás modellezése és előrejelzése autoregresszív modellek segítségével
Modelling and Forecasting Exchange Rate Volatility Using Autoregressive Models

Summary/Abstract: The aim of our research is the analysis of the EUR-RON exchange rate volatility in the 2019-2023 period. We apply autoregressive (AR) statistical models: ARCH, GARCH, EGARCH, APGARCH, TGARCH. These models assume that a given variable, in this case the current exchange rate, depends on the exchange rates observed at previous times, and the correlation of these past exchange rates with themselves affects the current exchange rate. Based on the estimates of the asymmetric models, the exchange rate does not respond to positive and negative shocks to the same ex-tent, because positive shocks cause greater volatility in the EUR-RON exchange rate.

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