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

Table 6

Descriptive statistics for moving volatilities.

Country	Variable	Mean	Maximum	Minimum
China	Exch. rate	0.0361	0.1134	0.0001
	Growth rate	0.5346	1.7222	0.0015
South Africa	Exch. rate	0.4448	0.8512	0.1947
	Growth rate	4.5139	7.6505	2.6889
Canada	Exch. rate	0.0278	0.0600	0.0153
	Growth rate	2.2702	5.0495	1.2232
Switzerland	Exch. rate	0.0299	0.0603	0.0119
	Growth rate	2.6173	5.4387	1.3242

Source: FRED, 2000-2020.