Document Type

Working Paper

Date

2001

Keywords

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

Language

English

Disciplines

Mathematics

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.

Additional Information

Harvest from RePEc at http://repec.org

Source

Metadata from RePEc

Included in

Mathematics Commons

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