Modelling the coherence in short-run nominal exchange rates: a multivariate generalized arch model: A multivariate generalized arch model

• Localización: The Review of economics and statistics, ISSN 0034-6535, Vol. 72, Nº 3, 1990, pág. 498
• Idioma: inglés
• DOI: 10.2307/2109358
• Texto completo no disponible (Saber más ...)
• Resumen

  • A multivariate time series model with time varying conditional variances and covariances, but constant conditional correlations is proposed. In a multivariate regression framework, the model is readily interpreted as an extension of the Seemingly Unrelated Regression (SUR) model allowing for heteroskedasticity. Parameterizing each of the conditional variances as a univariate Generalized Autoregressive Conditional Heteroskedastic (GARCH) process, the descriptive validity of the model is illustrated for a set of five nominal European U.S. dollar exchange rates following the inception of the European Monetary System (EMS). When compared to the pre-EMS free float period, the comovements between the currencies are found to be significantly higher over the later period.