Time Series Modelling of Daily Metical/Rand Exchange Rate Returns, 1996-2014

Kurt Brännäs () and Agostinho Machava ()
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Agostinho Machava: CEEG, Faculty of Economics, Postal: Universidade Eduardo Mondlane, Mozambique

No 909, Umeå Economic Studies from Umeå University, Department of Economics

Abstract: This paper models daily returns of the exchange rate between the Mozambican Metical (MZN) and the South African Rand (ZAR) over the past 18 years. The results indicate that returns and volatility responses to shocks are asymmetric. They also indicate that the effects of shocks are relatively short lived for the returns and that they are quite persistent for volatility. There is also a tentative discussion and some results about exchange rate returns in the non-bank sector.

Keywords: MZN; ZAR; Asymmetry; Nonlinearity; Conditional heteroskedasticity; Estimation (search for similar items in EconPapers)
JEL-codes: C22 C51 C58 F31 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2015-05-20
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:umnees:0909

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