This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … points. Our results reveal presence of volatility in the three currencies and equally indicate that most of the asymmetric … models rejected the existence of a leverage effect except for models with volatility break. Evaluating the models through …

This paper examines the sources of real exchange rate (RER) volatility in eighty countries around the world, during the … the RER volatility. To that end, we employ two complementary procedures that consist in detecting structural breaks in the … RER series and decomposing volatility into its permanent and transitory components. The results confirm that exchange rate …

This paper analyzes whether volatility changes in the real exchange rates (RERs) of the OECD industrial countries are … regarding real exchange rate volatility …

This paper presents a method to test the volatility predictions of the textbook asset-pricing exchange rate model … on existing tests of excess volatility in asset prices, combining them with a procedure that extracts unobservable … 1984 and find broad evidence of excess exchange rate volatility with respect to the predictions of the canonical asset …