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In this study, after a brief literature review, the RON / EURO exchange rate time series over the 03.01.2005 - 05.02.2015 time period is analyzed. After checking the stationarity of the data - ARCH, GARCH, EGARCH and TARCH models will be developed and compared. Next the best model is chosen and the serial correlation and the Jarque-Bera test are further analyzed with various conclusions being drawn.doaj:3cfcc2054e9b4678ac9f64c559766214 fatcat:p2jriapgz5eldeibu6ryoube7e