Beroulli jump diffusion, GARCH, Taiwan, exchange rates, Friction-GARCH
In this paper we propose a friction model with a Beroulli jump diffusion and a friction with GARCH to examine the exchange rates movements in Taiwan. The proposed model resolves the estimation problem associated with the stepwise movements of observed exchange rates. The specification maintains the desirable economic properties associated with movements in exchange rate returns and is empirically tractable. The AIC apparently favors the model based on Friction-GARCH model.
Kao, Chihwa, "Some New Approaches to Formulate and Estimate Friction-Bernoulli Jump Diffusion and Friction-GARCH" (2001). Center for Policy Research. Paper 120.
Metadata from RePEc