ARCH modelling of Australian bilateral exchange rate data

Michael McKenzie

Applied Financial Economics, 1997, vol. 7, issue 2, 147-164

Abstract: A comprehensive examination is undertaken of Australian exchange rate data utilizing the ARCH family of models. Various econometric tests are performed in an attempt to identify the presence of ARCH effects in 21 daily Australian bilateral exchange rate series. Where appropriate, a number of ARCH models have been fitted and the results presented. Several issues are also addressed. The presence of asymmetry in the ARCH effects is tested, although little evidence is found of any such asymmetry, as well as criteria for selecting an optimal ARCH model from among those fitted. The ARCH effects present in less frequently sampled data are thought to diminish and this is tested for using a number of indicators. Finally, the impact is tested of modelling higher-order autocorrelation for the fitted ARCH models.

Date: 1997
References: View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/096031097333718 (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:taf:apfiec:v:7:y:1997:i:2:p:147-164

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/096031097333718

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().