Modeling & testing for volatility of the monthly rate of return on the US($)/AUS($) exchange rate
Beg, Rabi (2004) Modeling & testing for volatility of the monthly rate of return on the US($)/AUS($) exchange rate. Proceedings of ASBBS 7th International Conference. ASBBS 7th International Conference , 6 - 7 August 2004, Cairns, QLD, Australia , pp. 124-135.
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The role of news is found to be fundamentally useful in understanding the behaviour of financial market volatility. It has been found that the Engle’s basic ARCH models are incapable of capturing all observed phenomena, such as asymmetric effect, excess kurtosis and high degree of nonlinearity, which are often the stylized facts exhibited by most financial and economic time series. Bollerslev’s GARCH has the similar cavities as the ARCH. Although the EGARCH and GJR models capture the asymmetric news and nonlinearities, performances of these two models are quite different. News Impact curve approach to the GARCH, EGARCH, and the GJR models & the diagnostic tests of asymmetry of this paper indicate that the EGARCH model is preferred to the other two models in explaining the asymmetric movements in the rate of return on the US/AUS exchange rates.
|Item Type:||Conference Item (Refereed Research Paper - E1)|
|Keywords:||ARCH; EGARCH; GJR; asymmetric news; impact curve; volatility models; exchange rate|
|FoR Codes:||14 ECONOMICS > 1403 Econometrics > 140305 Time-Series Analysis @ 100%|
|SEO Codes:||91 ECONOMIC FRAMEWORK > 9199 Other Economic Framework > 919999 Economic Framework not elsewhere classified @ 100%|
|Deposited On:||24 Oct 2006|
|Last Modified:||12 Feb 2011 02:12|
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