Sudden Changes In Volatility In Central And Eastern Europe Foreign Exchange Markets
AbstractThis article investigates sudden changes in volatility of four Central and Eastern European foreign exchange markets using the Iterated Cumulative Sums of Squares (ICSS) algorithm and re-examines the volatility persistence during the period 1999 to 2009. We determined that the identification of sudden changes is associated with local financial, economic and political events, with the exception of the financial crisis as a global factor. The accession to the EU reflects a positive stabilizing effect. Accounting for these sudden shifts in volatility in the GARCH models significantly reduces the persistence of volatility or long memory in the Central and Eastern Europe foreign exchange markets.
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Bibliographic InfoArticle provided by Institute for Economic Forecasting in its journal Romanian Journal for Economic Forecasting.
Volume (Year): (2012)
Issue (Month): 2 (June)
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currency markets; volatility persistence; GARCH models; shifts in volatility; economic and political events;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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