IDEAS home Printed from https://ideas.repec.org/a/icf/icfjbm/v03y2004i4p50-58.html
   My bibliography  Save this article

GARCH Effect and Asymmetric Impact of Information on Exchange Rate Volatility

Author

Listed:
  • S S Deb

Abstract

The study estimates the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model for a set of exchange rate series of three major currencies against the Indian Rupee. The study finds the evidence of the dimensionally weak and statistically insignificant Autoregressive Conditional Heteroskedasticity (ARCH) effects, as compared to GARCH effects, on the UK Pound and Japanese Yen. There is also an evidence of volatility persistence in the case of US Dollar. Besides the GARCH effects, the asymmetric impact of information on exchange rate volatility is also tested using GJR-GARCH and EGARCH models. The empirical evidence shows that the exchange rate market responds asymmetrically to favorable and unfavorable information.

Suggested Citation

  • S S Deb, 2004. "GARCH Effect and Asymmetric Impact of Information on Exchange Rate Volatility," The IUP Journal of Bank Management, IUP Publications, vol. 0(4), pages 50-58, November.
    • Handle: RePEc:icf:icfjbm:v:03:y:2004:i:4:p:50-58
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:icf:icfjbm:v:03:y:2004:i:4:p:50-58. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: G R K Murty (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.