Master Thesis Online
How the GARCH structure of the GBP has changed after the EU referendum and did the releases of Brexit news impacted the volatility of the GBP?
Scivoletto, Alexandre 
Promotor(s) :
Hambuckers, Julien
Date of defense : 26-Aug-2019/11-Sep-2019 • Permalink : http://hdl.handle.net/2268.2/8007
Brexit and the volatility of the GBP Thesis.pdfDetails
| Title : | How the GARCH structure of the GBP has changed after the EU referendum and did the releases of Brexit news impacted the volatility of the GBP? |
| Translated title : | [fr] Brexit et la volatilité du GBP. Comment la structure GARCH du GBP a changée après le référendum européen et est-ce que les parutions de nouvelles sur le Brexit ont impacté la volatilité du GBP? |
| Author : | Scivoletto, Alexandre
|
| Date of defense : | 26-Aug-2019/11-Sep-2019 |
| Advisor(s) : | Hambuckers, Julien
|
| Committee's member(s) : | Artige, Lionel
Lejeune, Bernard
|
| Language : | English |
| Number of pages : | 127 |
| Keywords : | [en] Brexit, exchange rate, event-study, volatility, GARCH |
| Discipline(s) : | Business & economic sciences > Finance |
| Commentary : | In order to investigate on the volatility of the GBP, only two exchange rates are investigated in this study. These exchange rates are the EUR/GBP and the GBP/USD. This choice is related to the fact that the EU and the USA constitute the two main trading partners of the UK. |
| Target public : | Researchers Professionals of domain Student General public |
| Institution(s) : | Université de Liège, Liège, Belgique |
| Degree: | Master en sciences économiques,orientation générale, à finalité spécialisée en Economics and Finance |
| Faculty: | Master thesis of the HEC-Ecole de gestion de l'Université de Liège |
Abstract
[en] This research aims to shed light on the impact of the Brexit on the volatility of the British currency. In order to do so, two questions are investigated. The first focuses on the change in the volatility structure, the GARCH structure of the GBP after the EU referendum. The second question analyzes how the Brexit announcements impacted the volatility of the GBP. Regarding the result of the first question, the innovation term of the GARCH models decreases significantly after the EU referendum. However, the volatility persistence term does not change significantly between the pre-referendum period and the post-referendum period. Moreover, the unconditional variance of the GBP decreased after the Brexit announcement. Then, the second question demonstrates that only the Brexit announcements that occurred between May 2018 and May 2019 impacted the volatility of the British pound.
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