This paper examines the sources of real exchange rate (RER) volatility in eighty countries around the world, during the … the RER volatility. To that end, we employ two complementary procedures that consist in detecting structural breaks in the … RER series and decomposing volatility into its permanent and transitory components. The results confirm that exchange rate …

-variate GARCH-in-mean model and volatility spillovers. The empirical results show the significant effects (positive and negative …, respectively) of the stock market returns, interest rate, and exchange rate volatility of the financial sector during the crisis …. Besides, we find, in most cases, significant (positive and negative, respectively) volatility spillovers from market return …

volatility in selected developed and emerging markets between the 2008 financial crisis and the 2019 worldwide pandemic. In this …-2009 and the global pandemic period of 2019-2021-were chosen. By using univariate GARCH models, namely GARCH, EGARCH, and …

We analyze time-varying exchange rate co-movements and volatility spillovers between the Czech koruna, the Polish zloty … volatilities are due to each currency's own history. However, during the distress periods volatility spillovers among currencies …