Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets |
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Authors: | Roberta Colavecchio Michael Funke |
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Institution: | Department of Economics, Hamburg University, Von-Melle-Park 5, 20146 Hamburg, Germany |
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Abstract: | This paper estimates switching autoregressive conditional heteroskedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime displays considerable persistence. Our analysis provides evidence that the knock-on effects from China's currency forwards markets upon other Asian countries have been modest, in that little evidence exists for co-dependence of volatility regimes. |
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