Publication Type
Journal Article
Version
publishedVersion
Publication Date
1-1998
Abstract
This paper examines the conditional heteroscedasticity of the yen-dollar exchange rate. A model is constructed by extending the asymmetric power autoregressive conditional heteroscedasticity model to a process that is fractionally integrated. It is found that, unlike the equity markets, the appreciation and depreciation shocks of the yen against the dollar have similar effects on future volatilities. Although the results reject both the stable and the integrated models, our analysis of the response coefficients of the past shocks and the application of the models to the estimation of the capital requirements for trading the currencies show that there are no substantial differences between the fractionally integrated models and the stable models.
Discipline
Asian Studies | Econometrics | Economics | Finance
Research Areas
Econometrics
Publication
Journal of Applied Econometrics
Volume
13
Issue
1
First Page
49
Last Page
55
ISSN
0883-7252
Identifier
10.1002/(SICI)1099-1255(199801/02)13:1<49::AID-JAE459>3.0.CO;2-O
Publisher
Wiley
Citation
TSE, Yiu Kuen.
The Conditional Heteroscedasticity of the Yen-Dollar Exchange Rates. (1998). Journal of Applied Econometrics. 13, (1), 49-55.
Available at: https://ink.library.smu.edu.sg/soe_research/375
Copyright Owner and License
Publisher
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1002/(SICI)1099-1255(199801/02)13:1<49::AID-JAE459>3.0.CO;2-O