What DCC-GARCH model tell us about the effect of the gold price's volatility on south african exchange rate?

Leleng Kebalo

MPRA Paper from University Library of Munich, Germany

Abstract: The aim of this paper is to study through a model rarely used and little known, the influence of the gold price's volatility on the south african real exchange rate. More precisely, it is to show that through the Dynamic Conditional Correlation GARCH model; model used in our paper, we get results that are consistent with economic works on the relationship between gold price's volatility and the real exchange rate. The period retained in this research paper going from May 1995 to April 2014. After analysis, we find that in the short term, the real exchange rate is more sensitive to its own volatility shocks, compared to the effect of the volatility shock of gold price. The last shock, although high, is less persistent on the real exchange rate.

Keywords: Volatility; exchange rate; gold price; DCC-GARCH model (search for similar items in EconPapers)
JEL-codes: C3 F3 G1 (search for similar items in EconPapers)
Date: 2014-07
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/72584/1/MPRA_paper_72584.pdf original version (application/pdf)

Related works:
Journal Article: What DCC-GARCH model tell us about the effect of the gold price’s volatility on south african exchange rate? (2016)
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:pra:mprapa:72584

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().