During 2001-07, increases in mature market volatility were associated with declines in forex returns for East Asian … increase in mature market equity volatility generated an exchange rate depreciation of up to 1⁄2 percent. This sensitivity rose …"" volatility in forex markets. Long-run forex volatility declined as Asian economies settled down with generally stronger …

frequency volatility—i.e., the component of volatility that persists for longer than one harvest year—may be more challenging as … uncertainty regarding its persistence is likely to be higher. This paper measures the low frequency volatility of food commodity … spot prices using the spline- GARCH approach. It finds that low frequency volatility is positively correlated across …

rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria … could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the … than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico's FXIs data …

(RBA) have had on the level and volatility of the Australian dollar exchange rate. First, using an event study we evaluate … Australian dollar. Second, we investigate the effects of RBA intervention policies on exchange rate volatility over the floating … volatility, which suggests that official intervention may have added to market uncertainty. Overall, the effects of RBA …

explore this question by comparing long-run volatility trends in CEE currencies and the euro. We find that these trends are … euro. Spillovers of volatility across regional markets appear to have diminished over time, with the exception of the … Hungarian forint, which remains a source of volatility shocks to regional currencies …

This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility … ""stock market correction"" period. There is also evidence of structural breaks in the stock price and volatility dynamics …

Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility …

Statistical measures of the volatility of exchange rates, interest rates, and stock prices are estimated for a number … of countries. Periods of high volatility are identified and compared with periods of financial difficulty. The results … indicate that GARCH models of volatility could be potentially useful in assessing financial soundness. Daily data are more …