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Conditional heteroscedasticity of exchange rates: further results based on the fractionally integrated approach

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  • Albert K. Tsui

    (Department of Economics, National University of Singapore, Singapore)

  • Kin-Yip Ho

    (Department of Economics, Cornell University, USA)

Abstract

A recent article (Tse, 1998) published in this journal analysed the conditional heteroscedasticity of the yen-dollar exchange rate based on the fractionally integrated asymmetric power ARCH model. In this paper, we present replication results using Tse's (1998) yen-dollar series. We also examine the robustness of Tse's (1998) findings across different currencies, sample periods and non-nested GARCH-type models. Unlike Tse (1998), we find some evidence of asymmetric conditional volatility for daily returns of currencies measured against the dollar or the yen. Copyright © 2004 John Wiley & Sons, Ltd.

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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 19 (2004)
Issue (Month): 5 ()
Pages: 637-642

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Handle: RePEc:jae:japmet:v:19:y:2004:i:5:p:637-642

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  1. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
  2. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
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Cited by:
  1. Kurita, Takamitsu, 2014. "Dynamic characteristics of the daily yen–dollar exchange rate," Research in International Business and Finance, Elsevier, vol. 30(C), pages 72-82.
  2. Kin-Yip Ho & Albert K Tsui, 2008. "Volatility Dynamics in Foreign Exchange Rates: Further Evidence from the Malaysian Ringgit and Singapore Dollar," SCAPE Policy Research Working Paper Series 0805, National University of Singapore, Department of Economics, SCAPE.
  3. Chong, James, 2005. "The forecasting abilities of implied and econometric variance-covariance models across financial measures," Journal of Economics and Business, Elsevier, vol. 57(5), pages 463-490.

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