Sources of volatility persisten A case study of the U.K. pound/U.S. dollar exchange rate returns

A B M Rabiul Alam Beg; Sajid Anwar

doi:10.1016/j.najef.2012.02.001

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Sources of volatility persisten A case study of the U.K. pound/U.S. dollar exchange rate returns

Journal article

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Sources of volatility persisten A case study of the U.K. pound/U.S. dollar exchange rate returns

A B M Rabiul Alam Beg and Sajid Anwar

North American Journal of Economics and Finance, Vol.23(2), pp.165-184

2012

DOI: https://doi.org/10.1016/j.najef.2012.02.001

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Abstract

leverage effect

volatility persistence

regime switching GARCH models

exchange rates

This paper utilizes a new approach to examine the inherent nonlinear dynamics of the exchange rate returns volatility. Specifically, we utilize a regime switching threshold (i) generalized autoregressive conditional heteroskedasticity (RS-TGARCH) and (ii) a fractional generalized autoregressive conditional heteroskedasticity (RS-TFIGARCH) model. The RS-TGARCH model is found to be adequate in analyzing the first two moments of the U.K. pound/U.S. dollar monthly exchange rate returns series. The RS-TFIGARCH is found to be adequate for the daily returns series. The volatility persistence and leverage effects associated with exchange rate returns series are jointly tested by means of a Wald Chi-square test.

Details

Title: Sources of volatility persisten A case study of the U.K. pound/U.S. dollar exchange rate returns
Authors: A B M Rabiul Alam Beg (Author) - James Cook University
Sajid Anwar (Author) - University of the Sunshine Coast - Faculty of Arts and Business
Publication details: North American Journal of Economics and Finance, Vol.23(2), pp.165-184
Publisher: Elsevier BV, North-Holland
Date published: 2012
DOI: 10.1016/j.najef.2012.02.001
ISSN: 1062-9408
Organisation Unit: School of Business and Creative Industries; Indigenous and Transcultural Research Centre; University of the Sunshine Coast, Queensland; USC Business School - Legacy
Language: English
Record Identifier: 99450049802621
Output Type: Journal article

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Web Of Science research areas: Business, Finance; Economics

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