Modelling the Dependency between Inflation and Exchange Rate Using Copula

<table class="table-group" id="tab5"><tr><td><table class="table"><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr class="thead"><td class="align_left" rowspan="2">Data</td><td class="align_center" colspan="2">Normality</td></tr><tr class="thead"><td class="align_center">Jarque–Bera</td><td class="align_center">Shapiro–Wilk</td></tr><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr><td class="align_left">Inflation</td><td class="align_center">0.008</td><td class="align_center">0.000</td></tr><tr><td class="align_left">Exchange rate</td><td class="align_center">0.0071</td><td class="align_center">0.00127</td></tr><tr class="table-tr"><td colspan="3"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div>Testing for normality of our GARCH(1,1) standardised residuals.</div>

Journal of Probability and Statistics

tab5

Table 5

Table 5: Modelling the Dependency between Inflation and Exchange Rate Using Copula 