The Asia Financial Crises and Exchange Rates: Had There Been Volatility Shifts for Asian Currencies?
AbstractWe analyse the volatility structure of Asian currencies against the U.S. dollar (USD) for the Thai Baht THB, the Philippine Peso PHP, the Indonesian Rupiah IDR and the South Korean Won KRW. Our goal is to check if the characteristics of the volatility dynamics have changed in a K-state switching AR(1)-GARCH(1,1) model in the last decade 1995-2008 covering the Asian crisis. We estimate the model of Haas et al. (2003) with MCMC and we find that for the 4 currencies the volatility dynamics has changed at least once.
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Bibliographic InfoPaper provided by The Rimini Centre for Economic Analysis in its series Working Paper Series with number 10_10.
Date of creation: Jan 2010
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Markov switching GARCH models; Asian currency crisis 1997; Volatility breaks; Bayesian MCMC; Model choice;
Find related papers by JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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