This paper modelled the volatility persistence and asymmetry of naira-dollar exchange rate in interbank and Bureau de … GARCH model, appears to be better than the asymmetric ones in dealing with exchange rate volatility in the interbank market …

economic theory. In order to detect this pattern, the "gestalt" of exchange rate fluctuations is carefully explored. It is …

(unit roots in levels together with fat tails in returns and volatility clustering). Our time series analysis of simulated …

Heteroscedasticity) volatility dynamics. DCS models are robust to extreme observations, whereas standard financial time series models are … observations, stochastic seasonality with dynamic amplitude, and volatility dynamics. These seasonality dynamics of the GTQ/USD are …

We estimate a multivariate unobserved components-stochastic volatility model to explain the dynamics of a panel of six …

obtained from discrete time models by comparing them with high-frequency ex post estimates (e.g. realised volatility) based on … continuous time theory. In explanatory financial variability modelling this raises several methodological and practical issues … illustration provides an example of where an explanatory model outperforms realised volatility ex post. -- Financial variability …

We estimate a multivariate unobserved components stochastic volatility model to explain the dynamics of a panel of six …

Long-range dependency of the volatility of exchange-rate time series plays a crucial role in the evaluation of exchange … analysis. Findings from our analysis indicate that long-range dependence in volatility is observed and it is persistent across … horizons. However, this long-range dependence in volatility is most prominent at the horizon longer than daily. Policy …