文章基本信息

标题：DETECTING REGIME SWITCHES IN THE EUR/RON EXCHANGE RATE VOLATILITY
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作者：Necula Ciprian Radu Alina-Nicoleta
期刊名称：Annals of the University of Oradea : Economic Science
印刷版ISSN：1222-569X
电子版ISSN：1582-5450
出版年度：2009
卷号：XVIII
期号：03
出版社：University of Oradea
摘要：In the present study we develop and implement a short term exchange rate forecasting methodology using dynamic confidence intervals based on GARCH processes and we analyze whether this methodology can be used to model a regime switch in the volatility of the EUR/RON exchange rate generated by the change of the reference currency from USD to EUR in March 2003. In order to capture this switch we use in our analysis daily exchange rate returns from 1st of January 1999 to 1st of January 2004. We model the dynamics of the daily returns for the exchange rate by estimating a series of GARCH models, with various specifications for the conditional mean and for the conditional variance. The best specification is a FIGARCH (1, d, 0), a long memory process accounting for volatility persistence. The main finding is that there was a significant decrease in the volatility of the EUR/RON exchange rate after March 2003.
关键词：conditional heteroskedasticity, regime switch, exchange rates, long memory