Modelling and estimating volatilities in exchange rate return and the response of exchange rates to oil shock
نویسندگان
چکیده
Developing countries have persistently witnessed volatile exchange. Such volatility triggered instability in their exchange rates which induced colossal fluctuations currency leading to uncertainty for both the consumers and firms. All these instigated changes official that are harmful underlie trade patterns countries. This study estimated daily rate returns of ten African using generalized autoregressive conditional heteroskedasticity (GARCH) models, having ascertained significance (ARCH) effects. Structural vector autoregression (SVAR) estimator was utilized. Results showed Kenya shilling is most relatively stable currency, whereas Malawian kwacha among currencies. There had been a series random spikes Ghanaian cedi. Ghana best projected EGARCH, SGARCH may be more efficient estimating Morocco Zambia rates. Leverage effects indicated considerable magnitude adverse impact bad news foreign (FX) markets Zambia. Volatility shocks expected last future those
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ژورنال
عنوان ژورنال: Journal of Governance and Regulation
سال: 2023
ISSN: ['2306-6784', '2220-9352']
DOI: https://doi.org/10.22495/jgrv12i1art17