Markov Switching GARCH Models of Currency Crises in Southeast Asia

• Main Authors: BRUNETTI, Celso, MARIANO, Roberto S., SCOTTI, Chiara, TAN, Augustine H. H.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2003
• Subjects: Asian Studies; Econometrics; International Economics
• Online Access: https://ink.library.smu.edu.sg/soe_research/989; https://ink.library.smu.edu.sg/context/soe_research/article/1988/viewcontent/MSGARCH19Mar03.pdf
• Institution: Singapore Management University

This paper develops a model which is able to forecast exchange rate turmoil. Our starting point relies on the empirical evidence that exchange rate volatility is not constant. In fact, the modeling strategy adopted refers to the vast literature of the GARCH class of models, where the variance proces...