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Global Volatility and Forex Returns in East Asia1

Global Volatility and Forex Returns in East Asia1 »

Source: Global Volatility and Forex Returns in East Asia

Volume/Issue: 2008/208

Series: IMF Working Papers

Author(s): Sanjay Kalra

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2008

ISBN: 9781451870664

Keywords: Forex returns, GARCH models, volatility, exchange rate, standard deviation, statistics, heteroscedasticity,

During 2001-07, increases in mature market volatility were associated with declines in forex returns for East Asian countries, consistent with an overall "flight to safety" effect. Estimates from GARCH models sugge...

Global Volatility and Forex Returns in East Asia

Global Volatility and Forex Returns in East Asia »

Volume/Issue: 2008/208

Series: IMF Working Papers

Author(s): Sanjay Kalra

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2008

DOI: http://dx.doi.org/10.5089/9781451870664.001

ISBN: 9781451870664

Keywords: Forex returns, GARCH models, volatility, exchange rate, standard deviation, statistics, heteroscedasticity,

During 2001-07, increases in mature market volatility were associated with declines in forex returns for East Asian countries, consistent with an overall "flight to safety" effect. Estimates from GARCH models sugge...