Döviz kuru oynaklığında yapısal kırılmalar önemli midir? Asya-Pasifik döviz kurlarına ilişkin bulgular

Translated title of the contribution: Do Structural Breaks in Exchange Rate Volatility Matter?: Evidence from Asia-Pacific Currencies

Yongyang Su, Chi Keung Marco Lau, Mehmet Huseyin Bilgin

Research output: Contribution to journalArticle


Using the U.S. dollar exchange rate return series of three major Asia-Pacific currencies, this paper investigates the empirical relevance of structural breaks in exchange rate volatilities. We find significant evidence of structural breaks in the unconditional variances of all three exchange rate returns, implying unstable GARCH processes for these exchange rates. Various methods of accommodating structural breaks were considered when forecasting daily exchange rate volatility using GARCH models. In sharp contrast to previous evidence from currencies of developed countries, accommodating structural breaks, however, did not improve out-of-sample forecasts of exchange rate volatility, i.e., a simple GARCH(1,1) with expanding window model performed best in forecasting exchange rate volatilities in these emerging markets.
Original languageTurkish
Journalİktisat İşletme ve Finans
Issue number304
Publication statusPublished - 1 Jul 2011
Externally publishedYes

Fingerprint Dive into the research topics of 'Do Structural Breaks in Exchange Rate Volatility Matter? Evidence from Asia-Pacific Currencies'. Together they form a unique fingerprint.

  • Cite this