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Forecasting the Volatility of Currency Exchange Rates, International Journal of Forecasting, vol. 3, pp. 159-70 Appendix A: Research Data YEAR MCAP EXR OPN INT TARIFF 1980 5 0.5464 0.1607561 6.5 1813.5 1981 5.0 0.6100 0.1647636 6.5 2325.8 1982 5.0 0.6729 0.1224487 8 2336 1983 5.7 0.7241 0.1006517 8 1984.1 1984 5.5 0.7649 0.095472 10 1616 1985 6.6 0.8938 0.0976912 10 2183.5 1986 6.8 2.0206 0.0736242 10 1728.2 1987 8.2 4.0179 0.193323 15.8 3540.8 1988 10.0 4.5367 0.1643266 14.3 5672 1989 12.8 7.3916 0.2119088 21.2 5815.5 1990 16.3 8.0378 0.3114093 23 8640.9 1991 23.1 9.9095 0.3540399 20.1 11456.9 1992 31.2 17.2984 0.3833388 20.5 16054.8 1993 47.5 22.0511 0.3053042 28.02 15486.4 1994 66.3 21.8861 0.2092383 15 18294.6 1995 180.4 21.8861 0.5891781 14.27 37364 1996 285.8 21.8861 0.4953967 13.55 55000 1997 281.9 21.8861 0.5076755 7.43 63000 1998 262.6 21.8861 0.3463236 10.09 57.7 1999 300.0 92.6934 0.3865359 14.3 87.9 2000 472.3 102.1052 0.4249008 10.44 101.5 2001 662.5 111.9433 0.3966164 9.98 170.6 2002 764.9 120.9702 0.2873985 16.50 181.4 2003 1,359.3 129.3565 0.388535 13.04 195.5 2004 2,112.5 133.5004 0.3804465 13.32 217.2 2005 2,900.1 132.1470 0.4511631 10.82 232.8 2006 5,120.9 128.6516 0.3640021 8.35 177.7 2007 13,181.7 125.8331 0.3704067 8.10 241.4 2008 9,563.0 118.5669 0.4081138 11.84 281.3 2009 7,030.8 148.8802 0.3180941 12.85 297.5 2010 9,918.2 150.2980 0.3694308 5.67 309.2 2011 10,275.3 153.8616 0.416519 4.70 438.3 2012 14,800.9 157.4994 0.3472949 7.18 474.9 2013 19,077.4 157.3112 0.3084111 5.54 433.6 2014 16,875.1 158.5526 0.2639075 9.16 566.2 2015 17,003.4 193.2792 0.2116016 8.68 546.2 2016 16,185.7 253.4923 0.1804717 6.22 548.8 2017 21,128.9 305.7901 0.2180339 10.88 628 Appendix B: GARCH GRAPH 0 100,000,000 200,000,000 300,000,000 400,000,000 500,000,000 1985 1990 1995 2000 2005 2010 2015 Conditional variance 0 4,000 8,000 12,000 16,000 20,000 24,000 1985 1990 1995 2000 2005 2010 2015 Conditional standard dev iation -2.0 -1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 2.0 2.5 2 4 8 16 Variance Ratio Statistic Variance Ratio ± 2*S.E. Variance Ratio Statistic for GARCH02 with Robust ± 2*S.E. Bands Appendix C: Augmented Dickey-Fuller Unit Root Test for Market Capitalization Null Hypothesis: D(MCAP) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=9) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -5.779224 0.0000 Test critical values: 1% level -3.626784 5% level -2.945842 10% level -2.611531 *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(MCAP,2) Method: Least Squares Date: 11/10/19 Time: 12:51 Sample (adjusted): 1982 2017 Included observations: 36 after adjustments Variable Coefficient Std. Error t-Statistic Prob. D(MCAP(-1)) -1.057371 0.182961 -5.779224 0.0000 C 612.5611 365.7037 1.675020 0.1031 R-squared 0.495545 Mean dependent var 137.3111 Adjusted R-squared 0.480708 S.D. dependent var 2966.931 S.E. of regression 2138.028 Akaike info criterion 18.22711 Sum squared resid 1.55E+08 Schwarz criterion 18.31508 Log likelihood -326.0879 Hannan-Quinn criter. 18.25781 F-statistic 33.39943 Durbin-Watson stat 1.909130 Prob(F-statistic) 0.000002 Appendix D: Philip-Peron Unit Root Test for Market Capitalization Null Hypothesis: D(MCAP) has a unit root Exogenous: Constant Bandwidth: 7 (Newey-West automatic) using Bartlett kernel Adj. t-Stat Prob.* Phillips-Perron test statistic -5.747251 0.0000 Test critical values: 1% level -3.626784 5% level -2.945842 10% level -2.611531 *MacKinnon (1996) one-sided p-values. Residual variance (no correction) 4317210. HAC corrected variance (Bartlett kernel) 3645109. Phillips-Perron Test Equation Dependent Variable: D(MCAP,2) Method: Least Squares Date: 11/11/19 Time: 01:02 Sample (adjusted): 1982 2017 Included observations: 36 after adjustments Variable Coefficient Std. Error t-Statistic Prob. D(MCAP(-1)) -1.057371 0.182961 -5.779224 0.0000 C 612.5611 365.7037 1.675020 0.1031 R-squared 0.495545 Mean dependent var 137.3111 Adjusted R-squared 0.480708 S.D. dependent var 2966.931 S.E. of regression 2138.028 Akaike info criterion 18.22711 Sum squared resid 1.55E+08 Schwarz criterion 18.31508 Log likelihood -326.0879 Hannan-Quinn criter. 18.25781 F-statistic 33.39943 Durbin-Watson stat 1.909130 Prob(F-statistic) 0.000002 Appendix E: Kwiatkowski-Phillips-Schmidt-Shin Unit Root Test for Market Capitalization Null Hypothesis: D(MCAP) is stationary Exogenous: Constant Bandwidth: 7 (Newey-West automatic) using Bartlett kernel LM-Stat. Kwiatkowski-Phillips-Schmidt-Shin test statistic 0.427307 Asymptotic critical values*: 1% level 0.739000 5% level 0.463000 10% level 0.347000 *Kwiatkowski-Phillips-Schmidt-Shin (1992, Table 1) Residual variance (no correction) 4221730. HAC corrected variance (Bartlett kernel) 3339394. KPSS Test Equation Dependent Variable: D(MCAP) Method: Least Squares Date: 11/11/19 Time: 01:16 Sample (adjusted): 1981 2017 Included observations: 37 after adjustments Variable Coefficient Std. Error t-Statistic Prob. C 570.9162 342.4475 1.667164 0.1042 R-squared 0.000000
