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 …

general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a …

two measures: continuous volatility and discontinuous jumps . Focusing on the euro-dollar exchange rate, we provide …. Continuous volatility starts reacting prior to the news, intensifies around the release time and stays at high levels for several … volatility are mostly driven by the communication of the Euro area officials rather than US authorities …

symmetric (sGARCH) and the asymmetric (GJR-GARCH and EGARCH) volatility models with the normal, the student t and the skewed … with the calendar effect dummies in the volatility model are not parsimonious. The net purchase/ sale of USD in a given …

In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility … of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR …' realized volatility. From the Bai – Perron test, we found structural breakpoints that match significant events in financial …

This paper investigates possible drivers of volatility in the South African rand since the onset of the global … financial crisis. We assess the role played by local and international economic surprises, commodity price volatility, global … market risk perceptions, and local political uncertainty. As a measure of rand volatility, the study uses a market …