Structural changes in volatility of foreign exchange rates after the asian financial crisis

Teruo Nakatsuma

doi:10.1023/A:1010036620796

Structural changes in volatility of foreign exchange rates after the asian financial crisis

Teruo Nakatsuma

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

Abstract

Regime-shift models of daily returns are estimated for the foreign exchange rates of the Asian currencies that suffered from drastic devaluation during the Asian financial crisis in 1997, and the change points are detected for their volatility structures. Furthermore, how the persistence in the volatility of their exchange rates changed after the crisis is examined.

Original language	English
Pages (from-to)	69-82
Number of pages	14
Journal	Asia-Pacific Financial Markets
Volume	7
Issue number	1
DOIs	https://doi.org/10.1023/A:1010036620796
Publication status	Published - 2000 Jan 1
Externally published	Yes

Keywords

Foreign exchange rate
GARCH
Markov chain Monte Carlo
Persistence
Volatility

ASJC Scopus subject areas

Finance

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10.1023/A:1010036620796

Cite this

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abstract = "Regime-shift models of daily returns are estimated for the foreign exchange rates of the Asian currencies that suffered from drastic devaluation during the Asian financial crisis in 1997, and the change points are detected for their volatility structures. Furthermore, how the persistence in the volatility of their exchange rates changed after the crisis is examined.",

keywords = "Foreign exchange rate, GARCH, Markov chain Monte Carlo, Persistence, Volatility",

author = "Teruo Nakatsuma",

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AB - Regime-shift models of daily returns are estimated for the foreign exchange rates of the Asian currencies that suffered from drastic devaluation during the Asian financial crisis in 1997, and the change points are detected for their volatility structures. Furthermore, how the persistence in the volatility of their exchange rates changed after the crisis is examined.

KW - Foreign exchange rate

KW - GARCH

KW - Markov chain Monte Carlo

KW - Persistence

KW - Volatility

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Structural changes in volatility of foreign exchange rates after the asian financial crisis

Abstract

Keywords

ASJC Scopus subject areas

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