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Applied Economics Letters Volume 3, 1996 - Issue 4
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Original Articles

The risk premium on the Australian dollar in the 30-day forward market

Bruce Felmingham Department of Economics, University of Tasmania, GPO Box 252C, Hobart, Tasmania, 7001, Australia
Pages 233-235 | Received 16 Aug 1995, Published online: 02 Nov 2006
 
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Abstract

A GARCH (1,1)-M model of the 30-day forward rate error reveals the following: a constant, but not time varying risk premium; evidence of market inefficiencies; a well determined GARCH (1,1) effect, but no I-GARCH process. The daily time series extended from 2 January 1985 to 13 May 1994.

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