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Title: GARCH, jumps and permanent and transitory components of volatility: the case of the Taiwan exchange rate
Authors: Shen, Chung-Hua;Chen, Shyh-wei
Contributors: 金融系
Keywords: Component,model in volatiltiy;GARCH;Jump
Date: 2004
Issue Date: 2015-03-23 18:19:22 (UTC+8)
Abstract: This paper investigates whether there are three distinctive features in financial asset prices, that is, time-varying conditional volatility, jumps and the component factors of volatility. It adopts a component-GARCH-Jump, which can efficiently capture the three features simultaneously. Our results demonstrate,that the three features exist in the Taiwan exchange rate. Besides time-varying conditional volatility, our model identifies 172 jumps between 5 January 1988 and 21 March 2003. The empirical evidence shows that the permanent,component,of the conditional variance is a relatively smooth movement,except for a fairly sharp shift which began in 1997. This means,that the effect of the Asian crisis shock might very well have exerted not only a transitory jump effect, but also a permanent effect on Taiwan’s exchange rate.
Relation: Mathematics and Computers in Simulation , 67(3), 201-216
Data Type: article
DOI 連結:
Appears in Collections:[金融學系] 期刊論文

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