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The dynamics of exchange rate volatility: A multivariate latent factor ARCH model
Abstract
We study temporal volatility patterns in seven nominal dollar spot exchange rates, all of which display strong evidence of autoregressive conditional heteroskedasticity (ARCH). We first formulate and estimate univariate models, the results of which are subsequently used to guide specification of a multivariate model. The key element of our multivariate approach is exploitation of factor structure, which facilitates tractable estimation via a substantial reduction in the number of parameters to be estimated. Such a latent‐variable model is shown to provide a good description of multivariate exchange rate movements: the ARCH effects capture volatility clustering, and the factor structure captures commonality in volatility movements across exchange rates.
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Cites
A new look at the statistical model identification
Akaike, H. (1974) · IEEE Transactions on Automatic Control · doi:10.1109/tac.1974.1100705 · Cited by 51,879
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Cited by
The Distribution of Realized Exchange Rate Volatility
Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2001) · Journal of the American Statistical Association · doi:10.1198/016214501750332965 · Cited by 2,104
Self-citationThe econometrics of financial markets
Pagan, A. (1996) · Journal of Empirical Finance · doi:10.1016/0927-5398(95)00020-8 · Cited by 873
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility
Lin, W.-L., Engle, R. F., & Ito, T. (1994) · Review of Financial Studies · doi:10.1093/rfs/7.3.507 · Cited by 873
Sentana, E. (1995) · The Review of Economic Studies · doi:10.2307/2298081 · Cited by 549
Silvennoinen, A., & Teräsvirta, T. (2009) · Handbook of Financial Time Series · doi:10.1007/978-3-540-71297-8_9 · Cited by 452
Metadata
- Authors
- Diebold, F. X., & Nerlove, M.
- Venue
- Journal of Applied Econometrics
- Publisher
- Wiley
- Published
- 1989-01
- Volume
- 4
- Issue
- 1
- Pages
- 1-21
- ISSN
- 0883-7252 (ISSN-L)
- 1099-1255
- OpenAlex
- W2009358468
- Cited by
- 723
- References
- 2
- FWCI
- 36.48
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
