This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … points. Our results reveal presence of volatility in the three currencies and equally indicate that most of the asymmetric … models rejected the existence of a leverage effect except for models with volatility break. Evaluating the models through …

data ; long memory ; volatility persistence ; structural breaks …

. -- High frequency data ; long memory ; volatility persistence ; structural breaks …

. -- high frequency data ; long memory ; volatility persistence ; structural breaks …

In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility … of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR …' realized volatility. From the Bai – Perron test, we found structural breakpoints that match significant events in financial …

. Because these events may have been "priced into" exchange rates or increased these rates' volatility, connections between … nominal and real effective exchange rates, both in log changes and as a GARCH-based volatility measure, show whether regimes … exchange-rate returns and volatility do not match those of trade balances, and correlations between returns and trade balances …