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.

Data and Resources

Suggested Citation

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. http://dx.doi.org/10.15456/jae.2022314.1309163317