English, Article edition: The Jump Behavior of Foreign Exchange Market: Analysis of Thai Baht Jow-Ran Chang; Mao-Wei Hung; Cheng-Few Lee; ...

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Physical Description
  • article
Language
  • English

Edition details

Title
  • The Jump Behavior of Foreign Exchange Market: Analysis of Thai Baht
Author
  • Jow-Ran Chang
  • Mao-Wei Hung
  • Cheng-Few Lee
  • Hsin-Min Lu
Physical Description
  • article
Notes
  • We use square root stochastic volatility with or without jump model to study the heteroskedasticity and jump behavior of the Thai Baht. Bayesian factor is used to evaluate the explanatory power of competing model. It turns out that the square root stochastic volatility model with independent jump in observation and state equations (SVIJ) has the best explanatory power to our sample. Using the estimation results of the SVIJ model, we are able to link the major events of the Asian financial crisis to the jump behavior of either volatility or observation.
  • Asian financial crisis, foreign exchange market, jump behavior, Markov chain Monte Carlo, stochastic volatility
  • RePEc:wsi:rpbfmp:v:10:y:2007:i:02:p:265-288
Language
  • English
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