Modelling Exchange Rate Volatility and Global Shocks in South Africa

Adebayo Augustine Kutu () and Harold Ngalawa ()
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Adebayo Augustine Kutu: University of KwaZulu-Natal
Harold Ngalawa: University of KwaZulu-Natal

Acta Universitatis Danubius. OEconomica, 2017, issue 13(3), 178-193

Abstract: This paper models the volatility of South Africa’s exchange rate amidst global shocks. Using the symmetric GARCH (p,q) and asymmetric EGARCH (p,q) and the theoretical model of Omolo (2014), it is established that the asymmetric EGARCH (p,q) model outperforms the symmetric GARCH (p,q) model and can be recommended to policymakers in South Africa. The study results show that South Africa’s exchange rates are significantly affected by global shocks. It is, therefore, recommended that the South Africa’s government should consider the impact of global shocks when formulating and implementing economic policies, especially exchange rates policies.

Keywords: Modelling; Exchange Rate Volatility; GARCH; EGARCH Models (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:dug:actaec:y:2017:i:3:p:178-193

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