Beg, A.B.M. Rabiul Alam; Anwar, Sajid - In: The North American Journal of Economics and Finance 23 (2012) 2, pp. 165-184
This paper utilizes a new approach to examine the inherent nonlinear dynamics of the exchange rate returns volatility. Specifically, we utilize a regime switching threshold (i) generalized autoregressive conditional heteroskedasticity (RS-TGARCH) and (ii) a fractional generalized autoregressive...