Some New Approaches to Formulate and Estimate Friction-Bernoulli Jump Diffusion and Friction-GARCH

Author(s)/Creator(s)

Chihwa Kao, Syracuse University. Center for Policy ResearchFollow

Description/Abstract

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.

Document Type

Working Paper

Date

2001

Keywords

Beroulli jump diffusion, GARCH, Taiwan, exchange rates, Friction-GARCH

Language

English

Series

Working Papers Series

Disciplines

Mathematics

Additional Information

Harvest from RePEc at http://repec.org

Recommended Citation

Kao, Chihwa, "Some New Approaches to Formulate and Estimate Friction-Bernoulli Jump Diffusion and Friction-GARCH" (2001). Center for Policy Research. 120.
https://surface.syr.edu/cpr/120

Source

Metadata from RePEc