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Kai-Li Wang
;
Christopher Fawson
;
Christopher B. Barrett
;
James B. McDonald

a flexible parametric garch model with an application to exchange rates (replication data)

Many asset prices, including exchange rates, exhibit periods of stability punctuated by infrequent, substantial, often one-sided adjustments. Statistically, this generates empirical distributions of exchange rate changes that exhibit high peaks, long tails, and skewness. This paper introduces a GARCH model, with a flexible parametric error distribution based on the exponential generalized beta (EGB) family of distributions. Applied to daily US dollar exchange rate data for six major currencies, evidence based on a comparison of actual and predicted higher-order moments and goodness-of-fit tests favours the GARCH-EGB2 model over more conventional GARCH-t and EGARCH-t model alternatives, particularly for exchange rate data characterized by skewness.

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Wang, Kai-Li; Fawson, Christopher; Barrett, Christopher B.; McDonald, James B. (2001): A flexible parametric GARCH model with an application to exchange rates (replication data). Version: 1. Journal of Applied Econometrics. Dataset. https://doi.org/10.15456/jae.2022314.1309163317

Related Publication

Wang, K., Fawson, C., Barrett, C. and McDonald, J. (2001), A Flexible Parametric Garch Model With An Application To Exchange Rates, Journal of Applied Econometrics, 16(4), 521-536. https://doi.org/10.1002/jae.606

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