On the GARCH estimates of exchange rate volatility in India
AbstractThe study estimates the generalized autoregressive conditional heteroskedasticity (GARCH) model for a comprehensive set of both weighted (export and trade) as well as unweighted (official and black market) real exchange rate series in India. The study finds the evidence of dimensionally weak and statistically insignificant autoregressive conditional heteroskedasticity (ARCH) effects as compared to GARCH effects in almost all the exchange rate series. The estimates of GARCH model are sensitive to the measure of exchange rate used. Besides, the GARCH effects remain invariant to the choice of sample period, and this evidence points towards the regime neutrality of exchange rate volatility in India.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 9 (2002)
Issue (Month): 6 ()
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- Stavarek, Daniel, 2007. "On Asymmetry of Exchange Rate Volatility in New EU Member and Candidate Countries," MPRA Paper 7298, University Library of Munich, Germany.
- Saadet Kasman & Duygu Ayhan, 2006. "Macroeconomic Volatility under Alternative Exchange Rate Regimes in Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 6(2), pages 37-58.
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