We analyse the volatility structure of Asian currencies against the U.S. dollar (USD) for the Thai Baht THB, the … volatility dynamics have changed in a K-state switching AR(1)-GARCH(1,1) model in the last decade 1995-2008 covering the Asian … crisis. We estimate the model of Haas et al. (2003) with MCMC and we find that for the four currencies the volatility …

This paper proposes a parsimonious threshold stochastic volatility (SV) model for financial asset returns. Instead of … imposing a threshold value on the dynamics of the latent volatility process of the SV model, we assume that the innovation of … time-varying volatility of returns, but also can accommodate the asymmetric shape of conditional distribution of the …