01825cas a2200253 a 4500 AALejournalIMF000570 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451844771 1018-5941 BD-DhAAL BD-DhAAL Lye, Jenny. Parametric Distributional Flexibility and Conditional Variance Models with an Application to Hourly Exchange Rates / Jenny Lye. Washington, D.C. : International Monetary Fund, 1998. 1 online resource (39 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This paper builds on the ARCH approach for modeling distributions with time-varying conditional variance by using the generalized Student t distribution. The distribution offers flexibility in modeling both leptokurtosis and asymmetry (characteristics seen in high-frequency financial time series data), nests the standard normal and Student t distributions, and is related to the Gram Charlier and mixture distributions. An empirical ARCH model based on this distribution is formulated and estimated using hourly exchange rate returns for four currencies. The generalized Student t is found to better model the empirical conditional and unconditional distributions than other distributional specifications. Mode of access: Internet United States imf IMF Working Papers; Working Paper ; No. 1998/029 Full text available on IMF http://elibrary.imf.org/view/journals/001/1998/029/001.1998.issue-029-en.xml IMF e-Library