A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2020; you can also visit the original URL.
The file type is
This paper examined the volatility models for exchange rate return, including Random Walk model, AR model, GARCH model and extensive GARCH model, with Normal and Student-t distribution assumption as well as nonparametric specification test of these models. We fit these models to Bangladesh foreign exchange rate index from January 1999 to December 31, 2012. The return series of Bangladesh foreign exchange rate are leptokurtic, significant skewness, deviation from normality as well as the returnsdoi:10.24006/jilt.2013.11.3.19 fatcat:4pjergs57veuxons3ymcdfissu