Back to Search
Start Over
Change in Volatility in the Won/U.S. Dollar Daily Exchange Rate:Stochastic Volatility Model.
- Source :
- Asia-Pacific Financial Markets; Mar2000, Vol. 7 Issue 1, p83-96, 14p
- Publication Year :
- 2000
-
Abstract
- This study estimates the changes in volatility of the won/U.S. dollar dailyexchange rates before and after the Korean currency crisis, using the stochastic volatility model with the ARMAregression error term. We find that the persistence of volatility increased after the Koreancurrency crisis. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 13872834
- Volume :
- 7
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Asia-Pacific Financial Markets
- Publication Type :
- Academic Journal
- Accession number :
- 86036745
- Full Text :
- https://doi.org/10.1023/A:1010092722614