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

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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.

Original languageEnglish
Pages (from-to)69-82
Number of pages14
JournalAsia-Pacific Financial Markets
Volume7
Issue number1
DOIs
Publication statusPublished - 2000 Jan 1

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Keywords

  • Foreign exchange rate
  • GARCH
  • Markov chain Monte Carlo
  • Persistence
  • Volatility

ASJC Scopus subject areas

  • Finance

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