Exchange rate volatility modelling and forecasting: An application on Turkish Economy

Autor práce:
Yüceer, Emrah
Typ práce:
Diplomová práce
Vedoucí práce:
Taušer, Josef
Osoba oponující práci:
Čajka, Radek

Informace o vysokoškolské kvalifikační práci

Název práce:
Exchange rate volatility modelling and forecasting: An application on Turkish Economy
Typ práce:
Master thesis
Jazyk práce:
English
Abstrakt:
In recent years, volume of international trade has increased due to the globalization. At this point, managing the exchange rate risk has become very important for countries and companies. In this context, the necessity of using exchange rate volatility modeling and forecasting methods has become more widespread in recent scientific studies. Therefore, this diploma thesis investigates impact of the exchange rate volatility on the Turkish economy and to what extent do the political events contributed to the exchange rate volatility in Turkey. In relation to that, logarithmic values of USD/TRY have been modeled between 12/04/2018 and 15/04/2019 with the help of autoregressive integrated moving average and autoregressive conditional heteroskedasticity models in order to determine most appropriate time series model for volatility. After most appropriate model has been found, the exchange rates USD/TRY between 01/04/2019 and 19/04/2019 were forecasted and compared with actual values. In conclusion, it is important to mention that forecasting results were quite close to present results, but it is also necessary to point out that political situation in the country has big impact on the volatility of exchange rate USD/TRY.
Klíčová slova:
GARCH; ARCH; ARIMA; exchange rate risk; turkish lira; forecast; volatility; exchange rate

Informace o studiu

Studijní program a Studijní obor:
Mezinárodní ekonomické vztahy/International Business - Central European Business Realities

Typ studijního programu:
Magisterský navazující studijní program

Jméno přidělované hodnosti:
Ing.

Instituce přidělující hodnost:
University of Economics, Prague

Název fakulty:
Faculty of International Relations

Název katedry:
Department of International Trade

Instituce archivující a zpřístupňující VŠKP:
University of Economics, Prague

Informace o odevzdání a obhajobě

Datum zadání práce:
18. 5. 2018

Datum podání práce:
30. 4. 2019

Datum obhajoby:
03.06.2019

Soubory ke stažení

Hlavní práce:
66014_yuce00.pdf [2,14 MB]

Oponentura:
62021_xcajr01.pdf [65,24 kB]

Hodnocení vedoucího:
66014_tauser.pdf [63,47 kB]

Údaje ze systému InSIS

Identifikátor:
https://insis.vse.cz/zp/66014/podrobnosti