Abstract
In this article, we perform several tests to determine whether the intervention of the Bank of Japan has an asymmetric effect through GARCH type models. Furthermore, we use realized volatility calculated by highfrequency exchange rate data to check the adequacy of the estimated volatility from GARCH type models.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.