Analyzing Currency Fluctuations: A Comparative Study of GARCH, EWMA, and IV Models for GBP/USD and EUR/GBP Pairs

In this study, we examine the fluctuation in the value of the Great Britain Pound (GBP). We focus particularly on its relationship with the United States Dollar (USD) and the Euro (EUR) currency pairs. Utilizing data from June 15, 2018, to June 15, 2023, we apply various mathematical models to assess their effectiveness in predicting the 20-day variation in the pairs' daily returns. Our analysis involves the implementation of Exponentially Weighted Moving Average (EWMA), Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models, …

britain cs.ai cs.lg currency data focus garch great britain q-fin.st relationship study united united states usd value