New Evidence on the Predictability of South Africa FX Volatility in Heterogeneous Bilateral Markets

Gordon H. Dash and Nina Kajiji ()
Additional contact information
Nina Kajiji: University of Rhode Island

The African Finance Journal, 2003, vol. 5, issue 1, 1-15

Abstract: The purpose of this paper is to model the nonparametric realized volatility of the U.S. based futures contract for dollar exchange with the South African Rand (ZAR). We find that the Kajiji-4 Bayesian regularization radial basis function neural network confirms the hypothesis that bilateral mineral alliances contribute to the observed volatility patterns of the ZAR contract. We also confirm the role of conditional volatility, trade-weighted state variables and news effects from the U.S. on the ZAR volatility prediction. Finally, the modelling results provide new evidence to support the heterogeneous trading hypothesis across the bilateral trade dimensions at the daily level.

JEL-codes: C22 C45 C53 (search for similar items in EconPapers)
Date: 2003
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.journals.co.za/ej/ejour_finj.html (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:afj:journl:v:5:y:2003:i:1:p:1-15

Access Statistics for this article

More articles in The African Finance Journal from Africagrowth Institute Contact information at EDIRC.
Bibliographic data for series maintained by Kirk De Doncker ().