Markov switching GARCH models of currency turmoil in Southeast Asia
By: Celso Brunetti ... [et al.].
Contributors: Brunetti, Celso.; Board of Governors of the Federal Reserve System (U.S.)
Series: International finance discussion papers -- no. 889; International finance discussion papers (Online) -- no. 889.
Publisher: Federal Reserve Board
Published: 2007
Place of publication: Washington, D.C
Language: eng
Format: Electronic resource
Description: "This paper analyzes exchange rate turmoil with a Markov Switching GARCH model.  We distinguish between two different regimes in both the conditional mean and the conditional variance: "ordinary" regime, characterized by low exchange rate changes and low volatility, and "turbulent" regime, characterized by high exchange rate movements and high volatility.  We also allow the transition probabilities to vary over time as functions of economic and financial indicators.  We find that real effective exchange rates, money supply relative to reserves, stock index returns, and bank stock index returns and volatility contain valuable information for identifying turbulence and ordinary periods"--Federal Reserve Board web site.
Notes: Title from PDF file as viewed on 4/23/2007.

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.