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

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• 作者：A.B.M. Rabiul Alam Beg^a ; ¹ ; ^{Rabiul.Beg@jcu.edu.au} ; Sajid Anwar^b ; ^c ; ^{sanwar@usc.edu.au}
• 关键词：B23 ; C32 ; G1
• 刊名：North American Journal of Economics and Finance
• 出版年：2012
• 期刊代码：67_10629408
• 类别：bus
• 出版时间：August, 2012
• 卷：23
• 期：2
• 页码：165-184
• 文件大小：724 K

摘要

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.