Modeling exchange rate volatility and volatility transmission between the Philippine peso and Indonesian rupiah for the period January 1996 to June 2000

• Main Authors: Chan, Quennie W., Chua, Jermyn C., How, Annabelle Lorraine C.
• Format: text
• Language: English
• Published: Animo Repository 2001
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/17123
• Institution: De La Salle University

The thrust of this paper is to investigate the linkage of the volatility of exchange rates of currencies which were adversely affected during the recent Asian currency crisis. Specifically, the study attempts to confirm the presence of volatility transmission and compares the temporal behavior of th...