Exchange Rate Uncertainty and Trade Growth - A Comparison of Linear and Nonlinear (Forecasting) Models



Table III: (G)ARCH estimation and diagnostic results

Exports

Imports

∆e

kt

GARCH(1,1)

ξkt

∆e

kt

GARCH(1,1)

ξkt

A1

A5

δki

βk1

A1

A1

A5

δki

-------TT------------

βk1

A1

AT-

0.28

0.41

0.13*
(1.95)

0.83*

(8.11)

0.99

0.41

0.52

0.12*
(1.93)

0.84*
(8.74)

0.95

BE

0.28

0.27

0.16*

(1.87)

0.47

(1.52)

0.47

CA

0.50

0.76

0.05

(0.74)

0.53

(1.06)

0.85

0.59

0.89

0.05

(0.66)

-

0.86

FI

0.00*

0.01*

0.12*

(1.71)

0.79*
(6.04)

0.63

0.00*

0.02*

0.13*

(1.80)

0.78*
(6.06)

0.64

FR

0.09

0.31

0.11

(1.16)

0.86

0.20

0.56

0.10

(1.08)

0.95

GE

0.37

0.69

0.11

(1.38)

0.71

0.36

0.47

0.10

(1.20)

0.76

GC

0.00*

0.00*

0.18*

(2.66)

0.82*

(11.56)

0.09

0.00*

0.00*

0.19*

(2.76)

0.81*

(11.26)

0.12

IT

0.00*

0.00*

0.15

(1.61)

0.79*

(5.33)

0.85

0.00*

0.00*

0.15*

(1.67)

0.79*

(5.43)

0.93

IR

0.15

0.03*

0.04

(0.86)

0.70*

(2.21)

0.65

0.01*

0.11

0.11*
(1.68)

0.58*
(2.76)

0.86

JP

0.45

0.44

0.05

(0.77)

0.71*

(1.77)

0.94

0.58

0.46

0.05

(0.71)

0.71*

(1.68)

0.87

NL

0.01*

0.22

0.13

(1.31)

0.63

0.02*

0.15

0.10

(1.09)

0.28

(0.47)

0.71

NO

0.33

0.07

0.15*

(2.28)

0.74*

(6.17)

0.50

0.23

0.07

0.19*

(2.44)

0.72*

(6.10)

0.52

SW

0.01*

0.00*

0.06

(1.61)

0.91*

(18.34)

0.65

0.02*

0.02

0.05

(1.17)

0.92*

(14.29)

0.64

UK

0.01*

0.16

0.11*
(1.66)

0.71*

(4.40)

0.64

0.01*

0.13

0.10

(1.57)

0.70*

(4.09)

0.56

US

0.68

0.65

0.043
(0.85)

0.76

(1.64)

0.60

0.69

0.56

0.05

(1.12)

0.82*

(3.10)

0.51

Notes: p-values obtained from ARCH LM-tests of orders 1 and 5 (A1, A5) for ∆etk and LM-
tests on remaining ARCH effects in ξkt (A1). Parameter estimates (t-ratios in parentheses)
for the GARCH(1,1) or, if indicated, for ARCH(1) processes. A star indicates significance
at the 5% level. Owing to parameter restrictions we use one sided tests for the (G)ARCH-
parameters. All t-ratios are obtained from Quasi Maximum Likelihood estimation.39



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