SWARCH and the implicit volatility of the Real/USD exchange rate

SWARCH and the implicit volatility of the Real/USD exchange rate

This paper evaluates empirically the volatility prediction and the informational content of the exchange rate variation. The comparison is built on two different models. The first is a markov switching model on the conditional variance – SWARCH (Hamilton, 1994). The second model is based on the Garma...

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Bibliographic Details
Main Authors: Rodrigo De Losso da Silveira Bueno, Rafael Machado Santana
Format: Article
Language:English
Published: Brazilian Society of Finance 2008-10-01
Series:Revista Brasileira de Finanças
Subjects:
SWARCH
regime switching
persistance
implicit volatility
Online Access:http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1305

Internet

http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1305

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