Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/283657 
Year of Publication: 
2020
Citation: 
[Journal:] SPOUDAI - Journal of Economics and Business [ISSN:] 2241-424X [Volume:] 70 [Issue:] 1/2 [Year:] 2020 [Pages:] 58-80
Publisher: 
University of Piraeus, Piraeus
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.
Subjects: 
Exchange Rate
Exchange Rate Volatility
Symmetric GARCH Models
Asymmetric GARCH Model
Leverage Effect
JEL: 
E3
F30
F31
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.