Markov Switching GARCH Models of Currency Crises in Southeast Asia
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...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2003
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| Subjects: | |
| 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 |
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| Institution: | Singapore Management University |
| Language: | English |