South African Economic Risk Stabilization in Heterogeneous Bi-lateral FX Markets
نویسندگان
چکیده
The purpose of this study is to model the nonparametric realized volatility of the futures contract as traded in domestic U.S. markets for exchange involving the South African rand and the U.S. dollar (ZAR). The study embraces a Bayesian regularization radial basis function (RBF) artificial neural network (ANN) to model the complex volatility patterns. The modeling characteristics revealed by the Kajiji4 RBF ANN provide significant new information about the role of FX trading behavior within the bilateral mineral alliances of the two economies. In addition to conditional volatility and trade-weighted state variables, both U.S. and South African based news proxies prove to be important determinants of volatility. Additionally, the daily time-scale reveals evidence of heterogeneous trading across the bilateral trade dimensions. This latter finding suggests that future research may yet identify a significant trading rule for the ZAR contract. Modeling Hetrogenous Risk.... -iiDash & Kajiji
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