The Dynamics of DM/L Exchange Rate Volatility: A SWARCH Analysis

Wai Mun Fong

International Journal of Finance & Economics, 1998, vol. 3, issue 1, 59-71

Abstract: This paper applies the switching ARCH model introduced by Hamilton and Susmel (194) to weekly DM/L exchange rates for the period March 1987-December 1994. The sample period spans the UK's ERM tenure, which lasted until the currency crisis of September 1992. The SWARCH model generalized standard ARCH models by allowing the conditional variance to experience jumps between discrete status or regimes. The SWARCH model is shown to provide a unified statistical framework for investigating two issues of interest in the literature: (i) the evolution of volatility and its implications for ERM credibility and (ii) the effects of regime shifts on the stochastic process governing conditional volatility. Copyright @ 1998 by John Wiley & Sons, Ltd. All rights reserved.

Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www3.interscience.wiley.com/cgi-bin/jtoc?ID=15416 (text/html)
Access to full text is restricted to subscribers.

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:ijf:ijfiec:v:3:y:1998:i:1:p:59-71

Ordering information: This journal article can be ordered from
http://jws-edcv.wile ... PRINT_ISSN=1076-9307

Access Statistics for this article

International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley

More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().