Structural Changes in Volatility of Foreign Exchange Rates after theAsian Financial Crisis |
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Authors: | Teruo Nakatsuma |
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Affiliation: | (1) Institute of Economic Research, Hitotsubashi University, Naka 2-1,Kunitachi, Tokyo, 186-8603 |
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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 detectedfor their volatility structures. Furthermore, how the persistence in the volatility of their exchange rates changed after the crisis is examined. |
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Keywords: | foreign exchange rate GARCH Markov chain Monte Carlo persistence volatility |
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