Abstract
A multivariate time series model with time varying conditional variances and covariances but with constant conditional correlations is proposed. In a multivariate regression framework, the model is readily interpreted as an extension of the seemingly unrelated regression (SUR) model allowing for heteroskedasticity. Each of the conditional variances are parameterized as a univariate generalized autoregressive conditional heteroskedastic (GARCH) process. The descriptive validity of the model is illustrated for a set of 5 nominal European-US dollar exchange rates following the inception of the European Monetary System (EMS). EMS results are compared to estimates obtained for the same model using data over the pre-EMS period, July 1973 to March 1979. When compared to the pre-EMS free float period, the comovements between the currencies are found to be significantly higher over the later period.
Keywords
Multivariate statisticsEconometricsCoherence (philosophical gambling strategy)Exchange rateArchEconomicsMathematicsStatisticsMacroeconomicsHistory
Related Publications
Modelling the persistence of conditional variances
This paper will discuss the current research in building models of conditional variances using the Autoregressive Conditional Heteroskedastic (ARCH) and Generalized ARCH (GARCH)...
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
ABSTRACT We find support for a negative relation between conditional expected monthly return and conditional variance of monthly return, using a GARCH‐M model modified by allowi...
Dynamic Conditional Correlation
Time varying correlations are often estimated with multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models that are linear in squares and cross pro...
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Traditional econometric models assume a constant one-period forecast variance. To generalize this implausible assumption, a new class of stochastic processes called autoregressi...
Semiparametric ARCH Models
This article introduces a semiparametric autoregressive conditional heteroscedasticity (ARCH) model that has conditional first and second moments given by autoregressive moving ...
Publication Info
- Year
- 1990
- Type
- article
- Volume
- 72
- Issue
- 3
- Pages
- 498-498
- Citations
- 3530
- Access
- Closed
External Links
Social Impact
Altmetric
PlumX Metrics
Social media, news, blog, policy document mentions
Citation Metrics
3530
OpenAlex
Cite This
Tim Bollerslev
(1990).
Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model.
The Review of Economics and Statistics
, 72
(3)
, 498-498.
https://doi.org/10.2307/2109358
Identifiers
- DOI
- 10.2307/2109358