Record Details

Persistence And Asymmetry In Exchange Rate Volatility

International Business & Economics Research Journal

View Archive Info
 
 
Field Value
 
Title Persistence And Asymmetry In Exchange Rate Volatility
 
Creator Hassan, S. Aun
 
Subject Financial Economics
Volatility Persistence; Time Series; GARCH
 
Description Recent economic downturn in the United States and Europe has affected major currencies around the world. This paper focuses on the behavior of exchange rates over the past decade to study how volatility pattern of these exchange rates responds to any exogenous shocks. The paper focuses on persistence and asymmetry in volatility of major exchange rates due to exogenous shocks. The paper employs a univariate GARCH and an EGRACH model to test the persistence and asymmetry of exchange rate volatility using data from the past decade plus. The results show high persistence and asymmetric behavior in volatility implying that the effect of good news on exchange rates is different from the effect of bad news. The results of this paper have important implications for foreign exchange investors and will provide a better understanding of the foreign exchange market to interested observers.
 
Publisher The Clute Institute
 
Date 2012-08-17
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://www.cluteinstitute.com/ojs/index.php/IBER/article/view/7180
10.19030/iber.v11i9.7180
 
Source International Business & Economics Research Journal (IBER); Vol 11 No 9 (2012); 971-976
2157-9393
1535-0754
10.19030/iber.v11i9
 
Language eng
 
Relation https://www.cluteinstitute.com/ojs/index.php/IBER/article/view/7180/7253