Series: IMF Working Papers
Author(s): Gene Leon , and Rupert Worrell
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 May 2001
Keywords: volatility, financial instability, GARCH models, exchange rate, stock market, stock prices, stock price, Financial Markets and the Macroeconomy, Financial Institutions and Services: Government Policy and Regulation,
Statistical measures of the volatility of exchange rates, interest rates, and stock prices are estimated for a number of countries. Periods of high volatility are identified and compared with periods of financial d...