2002, English, Article, Journal or magazine article edition: On the GARCH Estimates of Exchange Rate Volatility in India Singh, Tarlok

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Physical Description
  • journal article
Published
  • Routledge, 2002
Language
  • English

Edition details

Title
  • On the GARCH Estimates of Exchange Rate Volatility in India
Author
  • Singh, Tarlok
Published
  • Routledge, 2002
Physical Description
  • journal article
Summary
  • The study estimates the generalized autoregressive conditional heteroskedasticity (GARCH) model for a comprehensive set of both weighted (export and trade) as well as unweighted (official and black market) real exchange rate series in India. The study finds the evidence of dimensionally weak and statistically insignificant autoregressive conditional heteroskedasticity (ARCH) effects as compared to GARCH effects in almost all the exchange rate series. The estimates of GARCH model are sensitive to the measure of exchange rate used. Besides, the GARCH effects remain invariant to the choice of sample period, and this evidence points towards the regime neutrality of exchange rate volatility in India.
  • No Full Text
Language
  • English
Related Resource
Identifier
  • oai:research-repository.griffith.edu.au:10072/​15375
  • 13504851
  • 10.1080/​13504850110086062

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