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



More intriguing information

1. Regionale Wachstumseffekte der GRW-Förderung? Eine räumlich-ökonometrische Analyse auf Basis deutscher Arbeitsmarktregionen
2. The name is absent
3. The name is absent
4. On Social and Market Sanctions in Deterring non Compliance in Pollution Standards
5. Measuring Semantic Similarity by Latent Relational Analysis
6. The name is absent
7. Indirect Effects of Pesticide Regulation and the Food Quality Protection Act
8. Nietzsche, immortality, singularity and eternal recurrence1
9. Housing Market in Malaga: An Application of the Hedonic Methodology
10. Target Acquisition in Multiscale Electronic Worlds