This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … points. Our results reveal presence of volatility in the three currencies and equally indicate that most of the asymmetric … models rejected the existence of a leverage effect except for models with volatility break. Evaluating the models through …

In this paper we analyse the impact of non-stationary volatility on the recently developed unit root tests which allow … general form, including, for example, the case of a single break in the volatility of the innovations which may or may not … root statistics based around this estimator are not pivotal in the presence of non-stationary volatility. Associated Monte …