The Distribution of Realized Exchange Rate Volatility

Forecasting realized exchange rate volatility by decomposition

We compare forecasts of the realized volatility of the exchange rate returns of the Euro against the U.S. Dollar and the Japanese Yen obtained both directly and through decomposition. Decomposing the realized volatility into its continuous sample path and jump components, and modeling and forecasting them separately instead of directly forecasting the realized volatility, is shown to lead to im...

Exchange rate volatility and its effect on stock market volatility

This paper investigates empirically the effect of volatility of the exchange rate of the U.S. dollar vis-à-vis the euro on U.S. stock market volatility while controlling for a number of drivers of stock return volatility. Using a GARCH(1, 1) model and using weekly data covering the period from the week of January 1, 1999 through the week of January 25, 2010, it is found that the 9/11 terrorist ...

Modelling exchange rate volatility

Two types of statistical models are empirically applied to test the pattern of volatility in the exchange rate markets. One considers the autoregressive models and tests the random walk hypothesis. The other considers the conditional variance process and tests the hypothesis of chaotic dynamics. Empirical results mostly support the random walk hypothesis and also the existence of Lorenz-type ch...

The Impact of Monetary Regime on the Exchange Rate Pass-Through under Exchange Rate Volatility (Dynamic Panel Data Approach)

The Impact of the Real Exchange Rate Volatility on Non-oil Exports: The Case of Iran

 Up to now, the impact of real exchange rate on the non-oil exports of Iran has been mainly on focus. However, the more important aspect of the fluctuations in exchange rate is its degree of volatility which can have profound effect on the non-oil exports. Hence, the main objective of this paper is to investigate the linkage between non-oil exports and the real exchange rate volatility for Iran...