Bonilla, Claudio; Romero-Meza, Rafael; Hinich, Melvin - In: Applied Economics 39 (2007) 19, pp. 2529-2533
This article checks for the adequacy of using GARCH models in exchange rate series. Using the Hinich portmanteau bicorrelation test, we find that a GARCH formulation or any of its variants fails to capture the data generating process of the main Latin American exchange rates. Our results...