Modelling Fiji-US exchange rate volatility

Autoria(s): Narayan, Paresh; Narayan, Seema; Prasad, Arti
Data(s)

01/06/2009
Resumo

In this article, we examine the Fiji-US exchange rate volatility using daily data for the period 2000 to 2006. Our modelling framework is based on the EGARCH model. We find robust evidence of conditional shocks having a positive effect on exchange rate volatility, shocks having asymmetric effects on exchange rate volatility and shocks having a transitory effect on exchange rate volatility.<br />
Identificador

http://hdl.handle.net/10536/DRO/DU:30022690
Idioma(s)

eng
Publicador

Routledge
Relação

http://dro.deakin.edu.au/eserv/DU:30022690/narayan-modellingfiji-2009.pdf

http://dro.deakin.edu.au/eserv/DU:30022690/narayan-modellingfiji-evidence-2009.pdf

http://dx.doi.org/10.1080/13504850701222004
Direitos

2009, Taylor & Francis
Tipo

Journal Article
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