ARCH modelling of Australian bilateral exchange rate data
AbstractA comprehensive examination is undertaken of Australian exchange rate data utilizing the ARCH family of models. Various econometric tests are performed in an attempt to identify the presence of ARCH effects in 21 daily Australian bilateral exchange rate series. Where appropriate, a number of ARCH models have been fitted and the results presented. Several issues are also addressed. The presence of asymmetry in the ARCH effects is tested, although little evidence is found of any such asymmetry, as well as criteria for selecting an optimal ARCH model from among those fitted. The ARCH effects present in less frequently sampled data are thought to diminish and this is tested for using a number of indicators. Finally, the impact is tested of modelling higher-order autocorrelation for the fitted ARCH models.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 7 (1997)
Issue (Month): 2 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAFE20
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Amélie Charles & Olivier Darné, 2014.
"Volatility persistence in crude oil markets,"
- Michael McKenzie & Heather Mitchell & Robert Brooks & Robert Faff, 2001.
"Power ARCH modelling of commodity futures data on the London Metal Exchange,"
The European Journal of Finance,
Taylor & Francis Journals, vol. 7(1), pages 22-38.
- McKenzie, M. & Michell, H. & Brooks, R.D. & Faff, R.W., 1998. "Power ARCH Modelling of Commodity Futures Data on the London Metal Exchange," Papers 98-3, Melbourne - Centre in Finance.
- Ferhan Salman & Aslihan Salih, 1999. "Modeling the Volatility In the Central Bank Reserves In An Emerging Market Setting," Working Papers 9901, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Gilmore, Claire G., 2001. "An examination of nonlinear dependence in exchange rates, using recent methods from chaos theory," Global Finance Journal, Elsevier, vol. 12(1), pages 139-151.
- Charles, Amelie & Darne, Olivier, 2006. "Large shocks and the September 11th terrorist attacks on international stock markets," Economic Modelling, Elsevier, vol. 23(4), pages 683-698, July.
- Amélie Charles, 2010. "The day-of-the week effects on the volatility: The role of the asymmetry," Post-Print hal-00771136, HAL.
- McKenzie, Michael D., 1999. "Power transformation and forecasting the magnitude of exchange rate changes," International Journal of Forecasting, Elsevier, vol. 15(1), pages 49-55, February.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.