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| Titre : | Trading volume and volatility in the foreign exchange market : Application of the GARCH and EGARCH Models | | Type de document : | texte imprimé | | Auteurs : | RIHAB MECHMECH, Auteur ; Chokri GHANMI, Auteur | | Editeur : | Institut de financement du développement du Maghreb arabe (I.F.I.D) | | Année de publication : | 2023 | | Collection : | 41 ème Promotion | | Importance : | 90p | | Présentation : | Tab | | Langues : | Français | | Mots-clés : | Exchange rates returns Trading volume Volatility Microstructure GARCH EGARCH Unidirectional causal link Volatility clustering | | Résumé : | This study provides a market-microstructure analysis of the exchange rate dynamics using
GARCH modeling framework. To analyze major currency pairs, EUR/TND and USD/TND,
we focus on the relationship between the exchange rate returns, trading volume and volatility.
The study highlights the phenomenon of volatility clustering, suggesting that high volatility
periods are often clustered together. We find a unidirectional, causal link running from returns
to trading volume, underscoring how volume is often a consequence of returns, rather than a
direct cause. The results indicate that the trading volume is insignificant in explaining the
exchange rate returns; these findings can be attributed to the market's lack of dynamism,
regulatory interventions and the cyclical balance of payments. Furthermore, The results show
that the trading volume can be utilized to identify the future volatility state indicating that
intensified trading may lead to higher market volatility.
| | En ligne : | https://www.ifid-bibliotheque.com/biblio/41%C3%A8me_Banque/mechmech_rihab.pdf |
Trading volume and volatility in the foreign exchange market : Application of the GARCH and EGARCH Models [texte imprimé] / RIHAB MECHMECH, Auteur ; Chokri GHANMI, Auteur . - Tunis : Institut de financement du développement du Maghreb arabe (I.F.I.D), 2023 . - 90p : Tab. - ( 41 ème Promotion) . Langues : Français | Mots-clés : | Exchange rates returns Trading volume Volatility Microstructure GARCH EGARCH Unidirectional causal link Volatility clustering | | Résumé : | This study provides a market-microstructure analysis of the exchange rate dynamics using
GARCH modeling framework. To analyze major currency pairs, EUR/TND and USD/TND,
we focus on the relationship between the exchange rate returns, trading volume and volatility.
The study highlights the phenomenon of volatility clustering, suggesting that high volatility
periods are often clustered together. We find a unidirectional, causal link running from returns
to trading volume, underscoring how volume is often a consequence of returns, rather than a
direct cause. The results indicate that the trading volume is insignificant in explaining the
exchange rate returns; these findings can be attributed to the market's lack of dynamism,
regulatory interventions and the cyclical balance of payments. Furthermore, The results show
that the trading volume can be utilized to identify the future volatility state indicating that
intensified trading may lead to higher market volatility.
| | En ligne : | https://www.ifid-bibliotheque.com/biblio/41%C3%A8me_Banque/mechmech_rihab.pdf |
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| 0900005814 | 41ème Promotion Banque | Mémoire | Bibliothèque de l'IFID | Banques | Disponible |
Trading volume and volatility in the foreign exchange market : Application of the GARCH and EGARCH Models / RIHAB MECHMECH
