Asymmetric information content of the YTL/US$ exchange rate return: new evidence from the post-crisis data using arma-egarch-m modeling

Levent Korap ()

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper, the volatility content of the YTL/US$ exchange rate return has been examined for the post-2001 crisis period till the early periods of 2008. Using exponential GARCH (EGARCH) methodology, estimation results indicate that volatility shocks on exchange rate return seem to be persistent so that the forecasts of the conditional variance converge to the steady state quite slowly. Besides, conditional variance of the exchange rate return reacts differently to equal magnitude negative and positive innovations. Plotting the News Impact Curve reveals that an unanticipated increase in exchange rate return would lead to more uncertainty when compared with the case of an unanticipated decrease.

Keywords: Exchange rate ruturn; volatility; egarch modeling (search for similar items in EconPapers)
JEL-codes: C22 F31 (search for similar items in EconPapers)
Date: 2008-12
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Published in ÇAĞ Üniversitesi Sosyal Bilimler Dergisi 2.5(2008): pp. 1-10

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:19631

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