IDEAS home Printed from
   My bibliography  Save this article

Long-term asymmetry in the USD-DEM spot exchange rate volatility process


  • Bernard Bollen


This study proposes a new approach to the specification of the volatility process for the USD-DEM spot exchange rate. This new specification incorporates long-term asymmetric effects. Although asymmetry in the volatility process is well-documented, existing models have typically modelled the impact of the previous trading day's return upon contemporaneous volatility. In this study, it is demonstrated empirically that the historical return over the previous 8 months of trading has a significant impact upon contemporaneous volatility. The methodology employed in this study draws on recent research into realized volatility. By utilizing the concept of realized volatility, simple regression techniques can be implemented to develop an econometric model of long-term asymmetry in the volatility process for the USD-DEM spot exchange rate.

Suggested Citation

  • Bernard Bollen, 2008. "Long-term asymmetry in the USD-DEM spot exchange rate volatility process," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(6), pages 403-407.
  • Handle: RePEc:taf:apfelt:v:4:y:2008:i:6:p:403-407
    DOI: 10.1080/17446540701765241

    Download full text from publisher

    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item


    Access and download statistics


    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:taf:apfelt:v:4:y:2008:i:6:p:403-407. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.