EconPapers    
Economics at your fingertips  
 

SWARCH and the implicit volatility of the Real/USD exchange rate

Rafael Machado Santana () and Rodrigo De Losso da Silveira Bueno ()
Additional contact information
Rafael Machado Santana: Instituto de Pesquisas Econômicas (IPE), USP
Rodrigo De Losso da Silveira Bueno: EAESP/FGV

Authors registered in the RePEc Author Service: Rodrigo De-Losso

Brazilian Review of Finance, 2008, vol. 6, issue 2, 235-265

Abstract: This paper evaluates empirically the volatility prediction and the informational content of the exchange rate variation. The comparison is built on two different models. The rst is a markov switching model on the conditional variance – SWARCH (Hamilton, 1994). The second model is based on the Garman e Kohlhagen (1983) option pricing model, from which one extracts the implicit volatility. The results show that the SWARCH’s performance is better in both dimensions and contrast with the literature in two aspects: rst because the model with switching regime is not as usual as the ones without it, second because the best model is based on historical data rather than implicit volatility.

Keywords: SWARCH; regime switching; persistance; implicit volatility (search for similar items in EconPapers)
JEL-codes: C52 G12 G13 (search for similar items in EconPapers)
Date: 2008
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/download/1305/442 (application/pdf)
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/1305 (text/html)

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:brf:journl:v:6:y:2008:i:2:p:235-265

Access Statistics for this article

Brazilian Review of Finance is currently edited by Marcio Laurini

More articles in Brazilian Review of Finance from Brazilian Society of Finance
Bibliographic data for series maintained by Marcio Laurini ().

 
Page updated 2021-09-01
Handle: RePEc:brf:journl:v:6:y:2008:i:2:p:235-265