stochastic volatility model. Exchange rate pass-through is divided into impacts of exchange rate fluctuations to import prices …

The choice of an exchange rate arrangement affects the volatility of the exchange rate: higher flexibility goes ahead … with increasing volatility and vice versa (Flood and Rose 1995, 1999). We investigate the exchange rate volatility of six …-model (Bollerslev 1986) and the Markov Switching Model (Hamilton 1989). We discover switches between high and low volatility regimes …

We examine the performance of volatility models that incorporate features such as long (short) memory, regime …-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models … over the alternative volatility models in terms of mean absolute forecast errors and that (iii) forecast combinations …