Are exchange rates more volatile with greater uncertainty? evidence from the PHP/USD exchange rate using GARCH-MIDAS models

Are exchange rates more volatile with greater uncertainty? evidence from the PHP/USD exchange rate using GARCH-MIDAS models

This study explores the relationship between policy-related economic uncertainty and the volatility of the PHP/USD exchange rate returns. The study uses data constructed from Google Trends to measure uncertainty and employs GARCH-MIDAS models to differentiate the short-run and long-run components of...

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书目详细资料
主要作者: Abreu, Marvin Kyle M. (Author)
其他作者: Epetia, Ma. Christina (thesis adviser.), Gonzales, Margarita (thesis adviser.)
格式: Thesis
语言:English
主题:
Foreign exchange rates.
Uncertainty > Economic aspects.