Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/72698
Authors: 
Oga, Takashi
Polasek, Wolfgang
Year of Publication: 
2010
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 254
Abstract: 
We analyse the volatility structure of Asian currencies against the U.S. dollar (USD) for the Thai Baht THB, the Philippine Peso PHP, the Indonesian Rupiah IDR and the South Korean Won KRW. Our goal is to check if the characteristics of the volatility dynamics have changed in a K-state switching AR(1)-GARCH(1,1) model in the last decade 1995-2008 covering the Asian crisis. We estimate the model of Haas et al. (2003) with MCMC and we find that for the four currencies the volatility dynamics has changed at least once.
Subjects: 
Markov switching GARCH models
Asian currency crisis 1997
volatility breaks
Bayesian MCMC
model choice
JEL: 
F31
C11
C22
Document Type: 
Working Paper

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