EconPapers    
Economics at your fingertips  
 

Non-linear modeling of daily exchange rate returns, volatility, and 'news' in a small developing economy

José Sánchez-Fung

No 2002-4, Economics Discussion Papers from School of Economics, Kingston University London

Abstract: This paper models daily returns, volatility, and ‘news’ in the parallel foreign exchange market of a small developing economy, namely the Dominican Republic, during the period 1989-2001. The research adopts a non-linear specification that encompasses several members of the GARCH family. A leftward tilted news impact reveals that positive shocks (depreciations) have a higher impact than negative ones (appreciations) on the volatility of exchange rate returns.

Keywords: daily exchange rate returns; non-linear GARCH models; ‘news impact’; developing countries (search for similar items in EconPapers)
JEL-codes: F31 G12 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2002-01-01
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://eprints.kingston.ac.uk/6630/1/Sanchez-Fung-6630.pdf Full text (application/pdf)

Related works:
Journal Article: Non-linear modelling of daily exchange rate returns, volatility, and 'news' in a small developing economy (2003) Downloads
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:ris:kngedp:2002_004

Access Statistics for this paper

More papers in Economics Discussion Papers from School of Economics, Kingston University London Kingston University London, School of Economics, Penrhyn Road, Kingston upon Thames, Surrey, KT1 2EE, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Andrea Ingianni ().

 
Page updated 2020-07-04
Handle: RePEc:ris:kngedp:2002_004