GARCH Inadequacy for Modelling Exchange Rates: Empirical Evidence from Latin America
Claudio A. Bonilla (Corresponding author) Faculty of Economics and Business Department of Management and Finance University of Chile
Rafael Romero-Meza Faculty of Economics and Business Department of Management and Finance University of Chile
Melvin J. Hinich  Applied Research Laboratories The University of Texas at Austin P. O. Box 8029, Austin Texas, USA
WORKING PAPERÂ UNIVERSIDAD DE CHILEÂ FACULTAD DE ECONOMIA Y NEGOCIOSÂ Â Â SEPTEMBER 2005
This paper checks for the adequacy of using GARCH models in exchange rate series. Using the Hinich portmanteau bicorrelation test, we find that a GARCH formulation or any of its variants fails to capture the data generating process of the main Latin American exchange rates. Our results highlight the potential of having misleading public policy when estimates are based in GARCH types of models. This paper also complements recent similar findings encountered in European and Asian economies. Bajar pdfÂ
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February 14th, 2008 at 20:33
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