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Structural breaks and GARCH models of stock return volatility: The case of South Africa

✍ Scribed by Babikir, Ali; Gupta, Rangan; Mwabutwa, Chance; Owusu-Sekyere, Emmanuel

Book ID
121758586
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
304 KB
Volume
29
Category
Article
ISSN
0264-9993

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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