Series: IMF Working Papers
Author(s): Sanjay Kalra
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 September 2008
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...