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
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Journal Article: Non-linear modelling of daily exchange rate returns, volatility, and 'news' in a small developing economy (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:ris:kngedp:2002_004

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