Volatility regimes in central and Eastern European countries' exchange rates
- Author
- Michael Frömmel (UGent)
- Organization
- Abstract
- We investigate changes between volatility regimes in five Central and Eastern European countries to analyze whether these changes are consistent with changes in the official exchange rate arrangements. The analysis merges two approaches, the GARCH model (Bollerslev, 1986) and the Markov switching model (Hamilton, 1989). We discover switches between high- and low-volatility regimes consistent with policy settings for Hungary, Poland, and, to a lesser extent, the Czech Republic, whereas Romania and Slovakia do not show a clear picture. Furthermore, we check the robustness of the model regarding the choice of the error distribution and find that heavy-tailed conditional distributions substantially improve the results.
- Keywords
- MARKOV SWITCHING MODELS, AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY, DEEDS VS. WORDS, TIME-SERIES, LONG SWINGS, TRANSITION, EMS, CEEC, exchange rate volatility, regime switching GARCH, Markov switching model, transition economies
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Citation
Please use this url to cite or link to this publication: http://hdl.handle.net/1854/LU-873066
- MLA
- Frömmel, Michael. “Volatility Regimes in Central and Eastern European Countries’ Exchange Rates.” FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE, vol. 60, no. 1, 2010, pp. 2–21.
- APA
- Frömmel, M. (2010). Volatility regimes in central and Eastern European countries’ exchange rates. FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE, 60(1), 2–21.
- Chicago author-date
- Frömmel, Michael. 2010. “Volatility Regimes in Central and Eastern European Countries’ Exchange Rates.” FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE 60 (1): 2–21.
- Chicago author-date (all authors)
- Frömmel, Michael. 2010. “Volatility Regimes in Central and Eastern European Countries’ Exchange Rates.” FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE 60 (1): 2–21.
- Vancouver
- 1.Frömmel M. Volatility regimes in central and Eastern European countries’ exchange rates. FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE. 2010;60(1):2–21.
- IEEE
- [1]M. Frömmel, “Volatility regimes in central and Eastern European countries’ exchange rates,” FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE, vol. 60, no. 1, pp. 2–21, 2010.
@article{873066,
abstract = {{We investigate changes between volatility regimes in five Central and Eastern European countries to analyze whether these changes are consistent with changes in the official exchange rate arrangements. The analysis merges two approaches, the GARCH model (Bollerslev, 1986) and the Markov switching model (Hamilton, 1989). We discover switches between high- and low-volatility regimes consistent with policy settings for Hungary, Poland, and, to a lesser extent, the Czech Republic, whereas Romania and Slovakia do not show a clear picture. Furthermore, we check the robustness of the model regarding the choice of the error distribution and find that heavy-tailed conditional distributions substantially improve the results.}},
author = {{Frömmel, Michael}},
issn = {{0015-1920}},
journal = {{FINANCE A UVER-CZECH JOURNAL OF ECONOMICS AND FINANCE}},
keywords = {{MARKOV SWITCHING MODELS,AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY,DEEDS VS. WORDS,TIME-SERIES,LONG SWINGS,TRANSITION,EMS,CEEC,exchange rate volatility,regime switching GARCH,Markov switching model,transition economies}},
language = {{eng}},
number = {{1}},
pages = {{2--21}},
title = {{Volatility regimes in central and Eastern European countries' exchange rates}},
volume = {{60}},
year = {{2010}},
}