Volatility Spillover in Exchange Rates between Asian Developed Economies and Emerging Economies
(2016) NEKN01 20152Department of Economics
- Abstract
- This study examines the interaction of exchange rates between the Asian developed economies: Japan and Singapore and emerging economies: China, India, Malaysia, Sri Lanka and Thailand over the period January 1, 2006 to December 31, 2014. The volatility spillover is modeled through a GARCH-BEKK model. Significant results are found for unidirectional spillover from Japan and Singapore to emerging economies. Further, it was deduced that economies are strongly affected by its own past shock and volatility.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8626204
- author
- Ashraf, Fayeza LU
- supervisor
-
- Emre Aylar LU
- organization
- course
- NEKN01 20152
- year
- 2016
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Exchange rate, BEKK-GARCH model, volatility spillover
- language
- English
- id
- 8626204
- date added to LUP
- 2016-02-15 15:00:03
- date last changed
- 2016-02-15 15:00:03
@misc{8626204, abstract = {{This study examines the interaction of exchange rates between the Asian developed economies: Japan and Singapore and emerging economies: China, India, Malaysia, Sri Lanka and Thailand over the period January 1, 2006 to December 31, 2014. The volatility spillover is modeled through a GARCH-BEKK model. Significant results are found for unidirectional spillover from Japan and Singapore to emerging economies. Further, it was deduced that economies are strongly affected by its own past shock and volatility.}}, author = {{Ashraf, Fayeza}}, language = {{eng}}, note = {{Student Paper}}, title = {{Volatility Spillover in Exchange Rates between Asian Developed Economies and Emerging Economies}}, year = {{2016}}, }