Implementing a Conditional Elasticity of Variance Generalized Autoregressive Conditional Heteroskedastic Model with Foreign Exchange Data

This particular version of a volatility model was shown to be effective using past deutschemark
against dolier data. Since the introduction of the common euro currency and the recent turmoil to
afflict financial markets it is scientifically Interesting and Socially !mportant to determIne if this model
can be calibrated to provide an accurate fit to the volatilities of current and recent past foreign
exchange data. If we can demonstrate accuracy in modeling volatility with one variable like a single
currency pair. the value and benefit to the partner organization would come from extending the model
to cover multiple variabies. like interest rates as well as exchange rates This new development is
commercially significant since banks. and financial institutions around the world are under pressure to
accurately model foreign exchange and Interest rate dynamiCS in an ever increas;ngly globallzed
economy

Faculty Supervisor:

Andrey Pavlov

Student:

Partner:

Markit

Discipline:

Business

Sector:

University:

Simon Fraser University

Program:

Accelerate