Asymmetric information content of the YTL/US$ exchange rate return: new evidence from the post-crisis data using arma-egarch-m modeling
AbstractIn this paper, the volatility content of the YTL/US$ exchange rate return has been examined for the post-2001 crisis period till the early periods of 2008. Using exponential GARCH (EGARCH) methodology, estimation results indicate that volatility shocks on exchange rate return seem to be persistent so that the forecasts of the conditional variance converge to the steady state quite slowly. Besides, conditional variance of the exchange rate return reacts differently to equal magnitude negative and positive innovations. Plotting the News Impact Curve reveals that an unanticipated increase in exchange rate return would lead to more uncertainty when compared with the case of an unanticipated decrease.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 19631.
Date of creation: Dec 2008
Date of revision:
Publication status: Published in ÇAĞ Üniversitesi Sosyal Bilimler Dergisi 2.5(2008): pp. 1-10
Exchange rate ruturn ; volatility ; egarch modeling ;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- F31 - International Economics - - International Finance - - - Foreign Exchange
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