03118nam 2200601 450 991046362710332120181012003738.01-4623-6386-51-4527-5412-897866128415901-282-84159-91-4518-7066-3(CKB)3170000000055109(EBL)1608018(SSID)ssj0000944132(PQKBManifestationID)11612518(PQKBTitleCode)TC0000944132(PQKBWorkID)10983368(PQKB)10353740(OCoLC)762183935(MiAaPQ)EBC1608018(EXLCZ)99317000000005510920140225h20082008 uy 0engur|n|---|||||txtccrGlobal volatility and forex returns in East Asia /Sanjay Kalra[Washington, District of Columbia] :International Monetary Fund,2008.©20081 online resource (33 p.)IMF working paper ;WP/08/208IMF working paper ;WP/08/208Description based upon print version of record.1-4519-1519-5 Contents; I. Introduction; II. Methodology and Data; III. GARCH Models of East Asian Daily Forex Returns; IV. Empirical Results; A. Sensitivity of Forex Returns to Mature Equity Market Volatility; B. Conditional and Unconditional Volatility of Forex Returns:; C. Subsamples; V. Robustness; VI. Conclusions; Figures; 1. VIX and VDAX Indices; 2. Exchange Rates; 3. Daily Forex Returns; 4. Daily Squared Forex Returns; 5. FIX_AR(2)-GARCH(1,1) Models: Residuals; 6. VIX AR(2)-GARCH(1,1) Models: Squared Residuals; 7. Daily Conditional and Unconditional Volatilities: 2001-078. Daily Conditional and Unconditional Volatilities: VIX Models, 2001-03Q29. Daily Conditional and Unconditional Volatilities: VIX Models, 2003Q3-07; 10. Daily Conditional and Unconditional Volatilities: VIX Models, 2001-07; Tables; 1. Daily Foreign Exchange Return: Summary Statistics; 2. VIX and VDAX Indices: Summary Statistics; 3. Exchange Rates and Volatility Indices: Augmented Dickey-Fuller Test Statistics; 4. VAR Lag Order Selection Criteria; 5. Forex Returns and VIX AR(2)-GARCH(1,1) Models, 2001-07; 6. Forex Returns and VIX AR(2)-GARCH(1,1) Models, 2001-03Q27. Forex Returns and VIX AR(2)-GARCH(1,1) Models, 2003Q3-078. Forex Returns and VDAX AR(2)-GARCH(1,1) Models, 2001-07; 9. Forex Returns and VDAX AR(2)-GARCH(1,1) Models, 2001-03Q2; 10. Forex Returns and VDAX AR(2)-GARCH(1,1) Models, 2003Q3-0; ReferencesForeign exchange ratesEast AsiaFinancial crisesEast AsiaElectronic books.Foreign exchange ratesFinancial crises332.456095Kalra Sanjay910642MiAaPQMiAaPQMiAaPQBOOK9910463627103321Global volatility and forex returns in East Asia2038121UNINA