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

Table 2

Friedman and ANOVA tests for the comparison of volatilities for the three methods.

Method	Min.	Max.	Mean	Std. Dev.	Friedman test			Repeated measures ANOVA
					Chi square	df	value	-stat	(df1, df2)	value
Traditional method	0.1765	0.4094	0.2802	0.0419	0.677	2	0.713
Sliding method	0.2464	0.3087	0.2814	0.0128				0.147	(1.13, 256.3)	0.734
Cumulative method	0.2748	0.2863	0.2811	0.0025

Source: authors’ simulated data.