Conditional heteroscedasticity of exchange rates: further results based on the fractionally integrated approach
AbstractA 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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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.
Volume (Year): 19 (2004)
Issue (Month): 5 ()
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Web page: http://www.interscience.wiley.com/jpages/0883-7252/
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