Modelling Fiji-US exchange rate volatility
AbstractIn this article, we examine the Fiji-US exchange rate volatility using daily data for the period 2000 to 2006. Our modelling framework is based on the EGARCH model. We find robust evidence of conditional shocks having a positive effect on exchange rate volatility, shocks having asymmetric effects on exchange rate volatility and shocks having a transitory effect on exchange rate volatility.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Economics Letters.
Volume (Year): 16 (2009)
Issue (Month): 8 ()
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Web page: http://www.tandf.co.uk/journals/routledge/13504851.html
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