Modeling Heteroscedasticity in Daily Foreign-Exchange Rates

David A Hsieh

Journal of Business & Economic Statistics, 1989, vol. 7, issue 3, 307-17

Abstract: This article estimates autoregressive conditionally heteroscedastic (ARCH) and generalized ARCH (GARCH) models for five foreign currencies, using 10 years of daily data, a variety of ARCH and GARCH specifications, a number of nonnormal error densities, and a comprehensive set of diagnostic checks. It finds that ARCH and GARCH models can usually remove all heteroscedasticity in price changes in all five currencies. Goodness-of-fit diagnostics indicate that exponential GARCH with certain nonnormal distributions fits the Canadian dollar extremely well and the Swiss franc and the deutsche mark reasonably well. Only one nonnormal distribution fits the Japanese yen reasonably well. None fit the British pound.

Date: 1989
References: Add references at CitEc
Citations: View citations in EconPapers (207)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:7:y:1989:i:3:p:307-17

Ordering information: This journal article can be ordered from
http://www.amstat.org/publications/index.html

Access Statistics for this article

Journal of Business & Economic Statistics is currently edited by Jonathan H. Wright and Keisuke Hirano

More articles in Journal of Business & Economic Statistics from American Statistical Association
Bibliographic data for series maintained by Christopher F. Baum ().