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Conditional heteroscedasticity of exchange rates: further results based on the fractionally integrated approach
Author(s) -
Tsui Albert K.,
Ho KinYip
Publication year - 2004
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.802
Subject(s) - heteroscedasticity , economics , econometrics , autoregressive conditional heteroskedasticity , volatility (finance) , liberian dollar , exchange rate , us dollar , monetary economics , finance
A recent article (Tse, 1998) published in this journal analysed the conditional heteroscedasticity of the yen–dollar exchange rate based on the fractionally integrated asymmetric power ARCH model. In this paper, we present replication results using Tse's (1998) yen–dollar series. We also examine the robustness of Tse's (1998) findings across different currencies, sample periods and non‐nested GARCH‐type models. Unlike Tse (1998), we find some evidence of asymmetric conditional volatility for daily returns of currencies measured against the dollar or the yen. Copyright © 2004 John Wiley & Sons, Ltd.