methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance …

-a-vis four other currencies. The impact of exogenous variables in modelling volatility is considered using both the GARCH (1 … indicate that the majority of the parameters are significant and that volatility is quite persistent. Furthermore, the results …

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 …

discrete processes can be identified as different volatility regimes. Secondly, the parameters can be easily interpreted as … different hedging components. Our formulation also provides an avenue to analyze the contribution of the volatility dynamics and …