Bala, Dahiru A.; Asemota, Joseph O. - In: CBN journal of applied statistics 4 (2013) 1, pp. 89-116
standard information criteria, volatility persistence and the log likelihood statistic, showed that results improved with … of volatility breaks reduces the level of persistence in most of the models. The study recommends the incorporation of …This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to …
