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Asymmetric information content of the YTL/US$ exchange rate return: new evidence from the post-crisis data using arma-egarch-m modeling

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  • Levent, Korap

Abstract

In this paper, the volatility content of the YTL/US$ exchange rate return has been examined for the post-2001 crisis period till the early periods of 2008. Using exponential GARCH (EGARCH) methodology, estimation results indicate that volatility shocks on exchange rate return seem to be persistent so that the forecasts of the conditional variance converge to the steady state quite slowly. Besides, conditional variance of the exchange rate return reacts differently to equal magnitude negative and positive innovations. Plotting the News Impact Curve reveals that an unanticipated increase in exchange rate return would lead to more uncertainty when compared with the case of an unanticipated decrease.

Suggested Citation

  • Levent, Korap, 2008. "Asymmetric information content of the YTL/US$ exchange rate return: new evidence from the post-crisis data using arma-egarch-m modeling," MPRA Paper 19631, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:19631
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Exchange rate ruturn ; volatility ; egarch modeling ;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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