Kanas, Angelos; Kouretas, Georgios P - In: International Journal of Finance & Economics 6 (2001) 1, pp. 13-25
This paper examines the issue of volatility and capital controls to the official and black market exchange rates of the Greek Drachma using the monthly exchange rate against the US dollar for the period 1975-93. Specifically, we apply a GARCH(1, 1) model to study the behaviour of the official...