The Volatility of the Norwegian Currency Basket
研究了挪威货币篮子与挪威克朗兑美元汇率在不同时间点的条件方差，发现篮子指数波动更小，且GARCH模型比ARCH模型拟合更好。
The Norwegian currency basket and the NOK/USD exchange rate observed at two different times of the day are modeled as ARCH or GARCH processes. The analysis yields four main conclusions. First, the conditional variance of the basket index is smaller than the conditional variance of the NOK/USD exchange rate. Second, the estimated conditional variances depend on which hour of the day the daily observations were collected. Third, the GARCH model fits the data better than the ARCH model for three of the four series analyzed. Further, neither model accounts for much of the large kurtosis found in the Norwegian currency basket. Copyright 1991 by The editors of the Scandinavian Journal of Economics.