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On the GARCH estimates of exchange rate volatility in India

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  • Tarlok Singh

Abstract

The study estimates the generalized autoregressive conditional heteroskedasticity (GARCH) model for a comprehensive set of both weighted (export and trade) as well as unweighted (official and black market) real exchange rate series in India. The study finds the evidence of dimensionally weak and statistically insignificant autoregressive conditional heteroskedasticity (ARCH) effects as compared to GARCH effects in almost all the exchange rate series. The estimates of GARCH model are sensitive to the measure of exchange rate used. Besides, the GARCH effects remain invariant to the choice of sample period, and this evidence points towards the regime neutrality of exchange rate volatility in India.

Suggested Citation

  • Tarlok Singh, 2002. "On the GARCH estimates of exchange rate volatility in India," Applied Economics Letters, Taylor & Francis Journals, vol. 9(6), pages 391-395.
    • Handle: RePEc:taf:apeclt:v:9:y:2002:i:6:p:391-395
    DOI: 10.1080/13504850110086062
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    Cited by:

    1. Saadet Kasman & Duygu Ayhan, 2006. "Macroeconomic Volatility under Alternative Exchange Rate Regimes in Turkey," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 6(2), pages 37-58.
    2. Rodolfo Cermeño & María Eugenia Sanin, 2015. "Are Flexible Exchange Rate Regimes more Volatile? Panel GARCH Evidence for the G7 and Latin America," Review of Development Economics, Wiley Blackwell, vol. 19(2), pages 297-308, May.
    3. Stavarek, Daniel, 2007. "On Asymmetry of Exchange Rate Volatility in New EU Member and Candidate Countries," MPRA Paper 7298, University Library of Munich, Germany.

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