Volatility Analysis of Exchange Rate with Correlated Errors: A Sliding Data Matrix Approach

Table 1

Descriptive statistics and paired sample tests of the traditional and proposed methods.

Method		Min.	Max.	Mean	Std. Dev.	Paired -test			Wilcoxon signed rank test
						-test	df	value	V-Stat	value
Sliding
	227	0.2464	0.3087	0.2814	0.0128
	227	0.1765	0.4094	0.2802	0.0419	1.1097	226	0.2683	13713	0.4349
Cumulative
	227	0.2748	0.2863	0.2811	0.0025
	227	0.1765	0.4094	0.2802	0.0419	1.2441	226	0.2148	13685	0.4517

Source: simulated data.