FX exposure and scenario analysis: VAR forecasting and GARCH simulation - case study 07
Вставка
- Опубліковано 15 вер 2024
- Commercial space case study, part 7
- Introduction - FX exposure
- our USDEUR exposure
- FX forecast with marco-model (International Fisher Rule), using Vector Autoregression
- FX simulation, using Student-t GARCH model on weekly data, scenario analysis (expected, worst-case, best-case scenarios)
- Predicted FX rates's impact on profit and value
- Validation: futures market prices on 1Y,2Y,3Y USDEUR rates