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GARCH inadequacy for modelling exchange rates: empirical evidence from Latin America.
- Source :
- Applied Economics; Nov2007, Vol. 39 Issue 19, p2529-2533, 5p, 2 Charts
- Publication Year :
- 2007
-
Abstract
- This article checks for the adequacy of using GARCH models in exchange rate series. Using the Hinich portmanteau bicorrelation test, we find that a GARCH formulation or any of its variants fails to capture the data generating process of the main Latin American exchange rates. Our results highlight the potential of having misleading public policy when estimates are based in GARCH types of models. This article also complements recent similar findings encountered in European and Asian economies. [ABSTRACT FROM AUTHOR]
- Subjects :
- FOREIGN exchange rates
ECONOMIC models
POLITICAL planning
STATISTICAL correlation
Subjects
Details
- Language :
- English
- ISSN :
- 00036846
- Volume :
- 39
- Issue :
- 19
- Database :
- Complementary Index
- Journal :
- Applied Economics
- Publication Type :
- Academic Journal
- Accession number :
- 27420879
- Full Text :
- https://doi.org/10.1080/00036840600707316