Modeling Exchange Rate Volatility in Selected WAMZ Countries: Evidence from Symmetric and Asymmetric GARCH Models

Perekunah Eregha, Festus O. Egwaikhide () and Emeka Osuji ()
Additional contact information
Festus O. Egwaikhide: Department of Economics, University of Ibadan, Nigeria.

SPOUDAI Journal of Economics and Business, 2020, vol. 70, issue 1-2, 58-80

Abstract: Exchange rate is one of the macroeconomic indicators that gives concern to policy makers and investors as its movements are mostly unpredictable and tend to affect both trade and capital flows. Hence, this study analyzes exchange rate volatility clustering among selected WAMZ countries for the period 1980-2016. The univariate symmetric and asymmetric ARCH/GARCH modeling approach is employed with the Maximum Likelihood Estimation Technique and the results show exchange rate volatility clustering and the existence of leverage effect in all the countries. Therefore, it is imperative for policy makers in these countries to ensure adequate policy coordination based on current realities to boost investors’ confidence and create needed automatic adjustment mechanism.

Keywords: Exchange Rate; Exchange Rate Volatility; Symmetric GARCH Models; Asymmetric GARCH Model; Leverage Effect (search for similar items in EconPapers)
JEL-codes: E3 F30 F31 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://spoudai.unipi.gr/index.php/spoudai/article ... /2704/2793-3655-1-SM

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:spd:journl:v:70:y:2020:i:1-2:p:58-80

Access Statistics for this article

More articles in SPOUDAI Journal of Economics and Business from SPOUDAI Journal of Economics and Business, University of Piraeus Contact information at EDIRC.
Bibliographic data for series maintained by SPOUDAI Journal of Economics and Business ().