Non-linear modeling of daily exchange rate returns, volatility, and 'news' in a small developing economy

This paper models daily returns, volatility, and ‘news’ in the parallel foreign exchange market of a small developing economy, namely the Dominican Republic, during the period 1989-2001. The research adopts a non-linear specification that encompasses several members of the GARCH family. A leftward tilted news impact reveals that positive shocks (depreciations) have a higher impact than negative ones (appreciations) on the volatility of exchange rate returns.

MoreLess

Year of publication:	2002-01-01
Authors:	Sánchez-Fung, José R.
Institutions:	School of Economics, Kingston University
Subject:	daily exchange rate returns \| non-linear GARCH models \| ‘news impact’ \| developing countries

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	Economics Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Economics Discussion Papers Number 2002-4 9 pages
Classification:	F31 - Foreign Exchange ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011099184