Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a … structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be … modelled by a multivariate GARCH process. Formal statistical tests are presented for identification and their small sample …

intervention to stabilize the exchange rate. In this study, USD/IDR volatility is investigated using TGARCH approach. The result … reveals that, USD/IDR volatility in Indonesia is obviously persistent. This study also presents the outcomes of effectiveness …

This study investigates the effectiveness of ROM. We conducted the GARCH (1,1) Model to determine whether ROM … contributed to decreasing the volatility of USD/TL exchange rate for the period 2013-2014. We construct four Models where four …