Modelling the Volatility of Exchange Rates in Rwandese Markets

The Influence of Structural Changes in Volatility on Shock Transmission and Volatility Spillover among Iranian Gold and Foreign Exchange Markets

Volatility in Foreign Exchange Rates

Four foreign exchange spot rate series, recorded on an hourly basis for a six-month period in 1986 are examined. A seasonal GARCH model is developed to describe the time-dependent volatility apparent in the percentage nominal return of each currency. Hourly patterns in volatility are found to be remarkably similar across currencies and appear to be related to the opening and closing of the worl...

Modelling exchange rate volatility

Two types of statistical models are empirically applied to test the pattern of volatility in the exchange rate markets. One considers the autoregressive models and tests the random walk hypothesis. The other considers the conditional variance process and tests the hypothesis of chaotic dynamics. Empirical results mostly support the random walk hypothesis and also the existence of Lorenz-type ch...

Volatility Scaling in Foreign Exchange Markets

When distributions are non-Gaussian or display linear dependence it may not be appropriate to annualise the risk coefficient determined by the linear rescaling of the variance from other time intervals. This paper investigates the scaling relationships for daily spot foreign currency returns: the Deutsche markU.S. dollar (DMK/USD), the Swiss franc-USD (SWF/USD), the Japanese yen-USD (JPY/USD), ...

Welfare and excess volatility of exchange rates