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Modelling the structural break in volatility

✍ Scribed by Kholodilin, Konstantin A.; Yao, Vincent Wenxiong

Book ID
126557376
Publisher
Taylor and Francis Group
Year
2006
Tongue
English
Weight
162 KB
Volume
13
Category
Article
ISSN
1350-4851

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πŸ“œ SIMILAR VOLUMES

Structural breaks and GARCH models of ex
Structural breaks and GARCH models of exchange rate volatility
✍ David E. Rapach; Jack K. Strauss πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 360 KB

## Abstract We investigate the empirical relevance of structural breaks for GARCH models of exchange rate volatility using both in‐sample and out‐of‐sample tests. We find significant evidence of structural breaks in the unconditional variance of seven of eight US dollar exchange rate return series