Modelling Fiji-US exchange rate volatility

Paresh Narayan (), Seema Narayan () and Arti Prasad

Applied Economics Letters, 2009, vol. 16, issue 8, 831-834

Abstract: In this article, we examine the Fiji-US exchange rate volatility using daily data for the period 2000 to 2006. Our modelling framework is based on the EGARCH model. We find robust evidence of conditional shocks having a positive effect on exchange rate volatility, shocks having asymmetric effects on exchange rate volatility and shocks having a transitory effect on exchange rate volatility.

Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:16:y:2009:i:8:p:831-834

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DOI: 10.1080/13504850701222004

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