Dynamics and Volatilities of the Asian Exchange-Rate Returns, 2020-2024
DOI:
https://doi.org/10.53897/RevChinaGR.2024.04.03Keywords:
Exchange Rate Returns, Asia, ARCH/GARCH Models, Goodness-of-fit, COVID-19Abstract
We study the dynamics and volatilities of six series of Asian exchange returns during and after the COVID-19 pandemic. The study uses seven ARCH/GARCH models, various statistical assumptions, and three goodnessof-fit criteria. The findings show that the best models to describe the series of exchange rate returns are: 1) The FIEGARCH(1,1,1) for the returns of China, Indonesia, and Japan; 2) the FIGARCH(1,1) for Malaysia; 3) the GARCH(1,1) for Hong Kong; and, 4) the PARCH (1,1,1) for Taiwan. The six exchange rate series used include daily data from 01/02/2020 to 02/15/2024.
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