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ISSN: 1549-3652 (Print)
ISSN: 1558-6987 (Online)
Research Article Open Access

The Volatility and Asymmetry of Won/Dollar Exchange Rate

Seok Yoon and Ki Seong Lee

Abstract

The study on volatility and asymmetry of the exchange rate by applied to the daily Won/Dollar exchange rate shows that past volatility of the exchange rate still has strong persistency at present and asymmetry effect and the leverage effect, which explain that volatility shock has an effect on the uncertainty of the exchange rate, are also existent after the free floating exchange rate system was adopted.

Journal of Social Sciences
Volume 4 No. 1, 2008, 7-9

DOI: https://doi.org/10.3844/jssp.2008.7.9

Submitted On: 8 December 2007 Published On: 31 March 2008

How to Cite: Yoon, S. & Lee, K. S. (2008). The Volatility and Asymmetry of Won/Dollar Exchange Rate. Journal of Social Sciences, 4(1), 7-9. https://doi.org/10.3844/jssp.2008.7.9

Open AccessCopyright: © 2008 Seok Yoon and Ki Seong Lee. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.

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Keywords

  • Won/Dollar exchange rate
  • volatility
  • asymmetry
  • GARCH
  • TARCH
  • EGARCH