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- Publisher
- Wiley
- Copyright
- Copyright © 2000 Wiley Subscription Services, Inc., A Wiley Company
- ISSN
- 0732-8516
- eISSN
- 1540-6288
- DOI
- 10.1111/j.1540-6288.2000.tb01405.x
- Publisher site
- See Article on Publisher Site
Abstract
We construct a series of 3‐, 4‐ and 5‐variable multivariate GARCH models of exchange rate volatility transmission across the important European Monetary System (EMS) currencies including the French franc, the German mark, the Italian lira, and the European Currency Unit. The models are estimated without imposing the common restriction of constant correlation on both daily and weekly data from April 1979–March 1997. Our results indicate the importance of checking for specification robustness in multivariate Generalized Autoregressive Conditional Heleroskedasticity (GARCH) modeling, we find that increased temporal aggregation reduces observed volatility transmission, and that the mark plays a dominant position in terms of volatility transmission.
Journal
The Financial Review – Wiley
Published: Feb 1, 2000
Keywords: ; ; ;