Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets

Roberta Colavecchio and Michael Funke

Journal of Asian Economics, 2009, vol. 20, issue 2, 174-196

Abstract: This paper estimates switching autoregressive conditional heteroskedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime displays considerable persistence. Our analysis provides evidence that the knock-on effects from China's currency forwards markets upon other Asian countries have been modest, in that little evidence exists for co-dependence of volatility regimes.

Keywords: China; Non-deliverable; forward; market; SWARCH; models (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (11)

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Related works:
Working Paper: Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets (2009)
Working Paper: Volatility Dependence across Asia-Pacific Onshore and Offshore Currency Forwards Markets (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:asieco:v:20:y:2009:i:2:p:174-196

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