Conditional heteroscedasticity of exchange rates: further results based on the fractionally integrated approach

Albert K. Tsui and Kin-Yip Ho
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Albert K. Tsui: Department of Economics, National University of Singapore, Singapore, Postal: Department of Economics, National University of Singapore, Singapore
Kin-Yip Ho: Department of Economics, Cornell University, USA, Postal: Department of Economics, Cornell University, USA

Journal of Applied Econometrics, 2004, vol. 19, issue 5, pages 637-642

Abstract: A recent article (Tse, 1998) published in this journal analysed the conditional heteroscedasticity of the yen-dollar exchange rate based on the fractionally integrated asymmetric power ARCH model. In this paper, we present replication results using Tse's (1998) yen-dollar series. We also examine the robustness of Tse's (1998) findings across different currencies, sample periods and non-nested GARCH-type models. Unlike Tse (1998), we find some evidence of asymmetric conditional volatility for daily returns of currencies measured against the dollar or the yen. Copyright © 2004 John Wiley & Sons, Ltd.

Date: 2004
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