Exchange rate volatility in the EMS before and after the fall

Simón Sosvilla‐Rivero · Fernando Fernández Rodríguez · Oscar Bajo‐Rubio

31 citations0/0 files storedApplied Economics Letters

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Global Financial Crisis and Policies

Abstract

The paper presents the results of applying an indicator of local (daily) volatility, based on the literature on forecasting in nonlinear systems to six EMS currencies, using data for the period January 1974–April 1995.

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1993The Unstable EMS 1993European Exchange Rate Credibility Before the Fall

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