Hill, Bootstrap and Jacknife Estimators for Heavy Tails
- O. V. Pictet, M. M. Dacorogna, U. A. Müller
How volatile is the euro currency? Given Ireland’s open economy status and its strong trading dependency on economies outside the euro area, understanding this question is vital. The paper analyses the volatility levels facing Irish economic agents by comparing the experiences from membership of the European Monetary System (EMS) through to the new single currency. The focus is on measuring volatility using two methodologies Conditional Variance GARCH models and Extreme Value Theory models. It shows that whilst average volatility levels of the euro exceed the Irish pound’s experience within the EMS, the probability that fluctuations such as those that arose during the currency crises of 1992/93 now appear less likely to occur.