Markov Switching GARCH Models of Currency Crises in Southeast Asia

• المؤلفون الرئيسيون: BRUNETTI, Celso, MARIANO, Roberto S., SCOTTI, Chiara, TAN, Augustine H. H.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2003
• الموضوعات: Asian Studies; Econometrics; International Economics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/989; https://ink.library.smu.edu.sg/context/soe_research/article/1988/viewcontent/MSGARCH19Mar03.pdf

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...