Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets

Roberta Colavecchio and Michael Funke

Quantitative Macroeconomics Working Papers from Hamburg University, Department of Economics

Abstract: This paper estimates switching autoregressive conditional heteroscedasticity (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 U.S. dollar future rates upon other Asian countries have been modest, in that little evidence exists for co-dependence of volatility regimes.

Keywords: China; renminbi; Asia; forward exchange rates; non-deliverable forward market; SWARCH models (search for similar items in EconPapers)
JEL-codes: C22 F31 F36 (search for similar items in EconPapers)
Date: 2007-08
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Citations: View citations in EconPapers (5)

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Working Paper: Volatility dependence across Asia-Pacific on-shore and off-shore U.S.dollar futures markets (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:ham:qmwops:20708

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