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

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 …

. -- High frequency data ; long memory ; volatility persistence ; structural breaks …