Volatility Of EUR/USD Exchange Rate After The European Sovereign Debt Crisis

After the European sovereign debt crisis breaking out, the euroexchange rate, especially the euro/US dollar exchange rate fluctuatedintensely. Its exchange rate changed from1.50in December2009to1.31atthe end of2012. It has been to1.19, the lowest point, during the period.While people thought that the tensions in the European debt crisis began toease, Cyprus, one of the euro zone countries, revoked crisis concerns at thebeginning of2013. Given the differences in euro zone economic strength andsocial environment, the economic outlook for the euro zone remains bleak.The European debt crisis will continue. Therefore, the study on volatility ofEUR/USD exchange rate after the European debt crisis is very necessary.Using daily closing price from December2009to January2013, I analyze the euro/US dollar exchange rate volatility by using descriptivestatistical indices, GARCH models and the wave theory, and try to find abetter fitting model of its volatility. In order to analyze the euro exchange ratevolatility characteristics deeply, I select the data before the European debtcrisis for comparison. In addition, I divide the period into two stages forfurther study, namely the spread stage and the continuous phase. Finally, Iconclude that there is an impact on euro against the dollar exchange ratevolatility and the asymmetric volatility and spillover effect of fluctuations arenot obvious after the European debt crisis.This paper is divided into five chapters. The first chapter introduces theresearch background. The second chapter is the literature review andintroduction of the application models. The third chapter introduces theresearch ideas and methods. The fourth chapter analyzes and explains thevolatility of euro exchange rate. The fifth chapter is the summary,suggestions and the shortcomings of the study.