capital mobility and volatility (1980:01–2009:04), the results show that the proposed hybrid model provides a coherent long …

This paper extends the FIGARCH long-memory volatility model to a multivariate framework. The proposed quasi maximum … satisfactorily. A trivariate specification is applied for modelling jointly the daily volatility of foreign exchange rates of the …

examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … were used to examine the degree or severity of volatility based on the first difference, standard deviation and coefficient … of deviation estimated volatility series for the nominal and real exchange rate of naira vis-a-vis the U.S dollar. The …

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 …

This research uses spectral methodology to study how the volatility of spot exchange rate misalignments changed as a … volatility of exchange rate misalignments and excess returns for the Yen and the Pound along virtually all frequency components …. On the other hand, the Canadian Dollar/US Dollar misalignments are characterized by higher volatility after the adoption …