The Asia Financial Crises and Exchange Rates: Had there been volatility shifts for Asian currencies?

Oga, Takashi and Polasek, Wolfgang (September 2010) The Asia Financial Crises and Exchange Rates: Had there been volatility shifts for Asian currencies? IHS Economics Series 254

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Abstract or Table of Contents

Abstract: We 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 four currencies the volatility dynamics has changed at least once.;

Item Type: IHS Series
Keywords: 'Markov switching GARCH models' 'Asian currency crisis 1997' 'Volatility breaks' 'Bayesian MCMC' 'Model choice'
Classification Codes (e.g. JEL): F31, C11, C22
Status: Published
Date Deposited: 26 Sep 2014 10:39
Last Modified: 25 Jul 2017 07:46
URI: http://irihs.ihs.ac.at/id/eprint/2013

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