A FLEXIBLE PARAMETRIC GARCH MODEL WITH AN APPLICATION TO EXCHANGE RATES

International Relations/Trade, Research Methods/ Statistical Methods,

A More General Approach to Modeling Exchange Rate Volatility

Exchange rates commonly exhibit periods of stability punctuated by infrequent, substantial adjustments. Statistically, this generates empirical distributions of exchange rate changes that have high peaks, long tails, and, sometimes, are asymmetric. Existing time-series estimation methods do not account for these characteristics satisfactorily. This paper introduces a more general GARCH model, based on the exponential generalized beta (EGB) family of distributions, which can accommodate most nonnormal characteristics of data, including leptokurtosis, skewness, and high peakedness, and yet remains tractable for estimation. Applied to daily U.S. dollar exchange rate data for six major currencies, the GARCH-EGB2 model uniformly outperforms conventional time-series models of exchange rate volatility

COMPLIANCE BIAS IN DICHOTOMOUS CHOICE CVM: SOME EVIDENCE FROM A UTAH WILDERNESS STUDY

Responses to a dichotomous choice contingent valuation (DCCV) of wilderness designation in Utah were used to determine if individuals who identified themselves as having no opinion or being neutral to wilderness designation in general and for two specific wilderness proposals would have nonnegative willingness to pay for such designation. In cases for which a sufficient number of observations permitted estimation, the estimated willingness to pay was positive and significantly different from zero and often exceeded that of individuals who identified themselves as supporting wilderness designation. This appears to support the contention that DCCV studies may generate values from respondents whether or not those respondents truly have positive willingness to pay

Buyer Concentration at Feeder Cattle Auctions

The influence of buyer concentration in two large feeder cattle auctions on feeder cattle prices at the auctions was investigated. Buyer concentration increased slightly for steers and heifers at one of the auctions between 1987 and 1989 and the increased concentration was estimated to have depressed prices an average of $0.05/cwt. Overall, prices at the other auction were depressed by an average of$0.44/cwt. between 1988 and 1989 due to increasing concentration at the auction