Testing for Neglected Nonlinearity in Weekly Foreign Exchange Rates

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Testing for Neglected Nonlinearity in Weekly Foreign Exchange Rates

This study investigates the presence of neglected nonlinearity in weekly exchange rates of five countries in terms of Australian dollar. Three prominent nonlinear models from the ARCH family, such as the EGARCH, GARCH-M and EGARCH-M are fitted to the first differenced log of exchange rate series....

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Bibliographic Details
Main Author:	Sadique, Shibley
Format:	Journal Article
Published:	Academic Research Council 2011
Subjects:	Neglected nonlinearity ARCH-type models Exchange rates
Online Access:	http://econpapers.repec.org/article/bapjournl/110306.htm http://hdl.handle.net/20.500.11937/57653

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