Estimating the Natural Cubic Spline Volatilities of the ASEAN-5 Exchange Rates

• 발행기관: 한국유통과학회
• 저자명: Jetsada LAIPAPORN Phattrawan TONGKUMCHUM
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.3, 1~10쪽, 전체 10쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.03.30

영문 초록

This study examines the dynamic pattern of the exchange rate volatilities of the ASEAN-5 currencies from January 2006 to August 2020. The exchange rates applied in this study comprise bilateral and effective exchange rates in order to investigate the influence of the US dollar on the stability of the ASEAN-5 currencies. Since a volatility model employed in this study is a natural cubic spline volatility model, the Monte Carlo simulation is consequently conducted to determine an appropriate criterion to select a number of quantile knots for this model. The simulation results reveal that, among four candidate criteria, Generalized Cross-Validation is a suitable criterion for modeling the ASEAN-5 exchange rate volatilities. The estimated volatilities showed the inconstant dynamic patterns reflecting the uncertain exchange rate risk arising in international transactions. The bilateral exchange rate volatilities of the ASEAN-5 currencies to the US dollar are more variable than their corresponding effective exchange rate volatilities, indicating the influence of the US dollar on the stability of the ASEAN-5 currencies. The findings of this study suggest that the natural cubic spline volatility model with the quantile knots selected by Generalized Cross-Validation is practical and can be used to examine the dynamic patterns of the financial volatility.

목차

1. Introduction

2. Literature Review

3. Research Methods and Materials

4. Results and Discussion

5. Conclusions

References

키워드

Bilateral Exchange Rate Effective Exchange Rate Model Selection Generalized Cross-Validation Knots