کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
975334 | 1479792 | 2012 | 20 صفحه PDF | دانلود رایگان |
This paper utilizes a new approach to examine the inherent nonlinear dynamics of the exchange rate returns volatility. Specifically, we utilize a regime switching threshold (i) generalized autoregressive conditional heteroskedasticity (RS-TGARCH) and (ii) a fractional generalized autoregressive conditional heteroskedasticity (RS-TFIGARCH) model. The RS-TGARCH model is found to be adequate in analyzing the first two moments of the U.K. pound/U.S. dollar monthly exchange rate returns series. The RS-TFIGARCH is found to be adequate for the daily returns series. The volatility persistence and leverage effects associated with exchange rate returns series are jointly tested by means of a Wald Chi-square test.
► Volatility persistence and leverage effects associated with the U.K. pound/U.S. dollar exchange rate returns are jointly tested by means of a Wald Chi-square test.
► A regime switching threshold generalized autoregressive conditional heteroskedasticity (RS-TGARCH) mode is used to evaluate the monthly data.
► A fractional generalized autoregressive conditional heteroskedasticity (RS-TFIGARCH) model is used on the daily returns data.
► The RS-TGARCH model is found to be adequate in analyzing the first two moments of the monthly exchange rate returns series.
► The RS-TFIGARCH is found to be adequate for the daily data.
Journal: The North American Journal of Economics and Finance - Volume 23, Issue 2, August 2012, Pages 165–184