On GARCH Models and Applications: Foreign Exchange Rate Volatility and a Price Index
Keywords:Volatility swaps, Heston model, GARCH, ARCH, forecasting
This paper studies the benefit of GARCH models, and presents two applications on the exchanging of the rate volatility of Algerian Dinar against the Euro and US Dollar and CAC40French index. The goal of this work is to add another benefit of univariate GARCH models which this work contains an application relates to exchange rates between the Algerian Dinar (DZD), the American dollar (USD) and the Euro from 1/01/2014 to 15/05/2019. Also, this paper applies analytical solutions from Zeghdoudi et al. (2014) to price a swap on the volatility of the CAC40 French index for five years (from October 2013 to April 2018).
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