An investigation into the exchange rate volatility of Malaysia: assessing asymmetry and persistency

• 主要作者: Fardous, Alom
• 格式: Conference or Workshop Item
• 語言: English; English
• 出版: 2014
• 主題: HA Statistics; HB131 Methodology.Mathematical economics. Quantitative methods
• 在線閱讀: http://irep.iium.edu.my/38898/1/Abstract_for_TEA_conference.docx; http://irep.iium.edu.my/38898/2/TEA_Conference_presented.pdf; http://irep.iium.edu.my/38898/

This study attempts to examine the asymmetry and persistency of exchange rate volatility of Malaysian Ringgit against U.S. dollar, British pound, Euro, Japanese yen, and Singapore dollar within the framework of asymmetric component GARCH models using daily data over the period of 1 August, 2005 to 2...