Nonparametric and Semiparametric Models

  • Christian M. Hafner
Part of the Contributions to Economics book series (CE)

Abstract

In the previous chapter we have seen that parametric ARCH models have to a large extent the capability to explain the features of FX rate volatility. The GARCH model fit outperformed the IGARCH and EGARCH model fits. Based on this analysis one might conclude that the conditional variance of FX returns is neither integrated (permanent memory), nor asymmetric. To show that this conclusion would be rash is the objective of this chapter.

Keywords

Covariance Resid Autocorrelation Volatility Estima 

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Copyright information

© Springer-Verlag Berlin Heidelberg 1998

Authors and Affiliations

  • Christian M. Hafner
    • 1
  1. 1.Institut für Statistik und Ökonometrie, Wirtschaftswissenschaftliche FakultätHumboldt-Universität zu BerlinBerlinGermany

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