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Modelling Exchange Rate Volatility and Global Shocks in South Africa

Author

Listed:
  • Adebayo Augustine Kutu

    (University of KwaZulu-Natal)

  • Harold Ngalawa

    (University of KwaZulu-Natal)

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.

Suggested Citation

  • Adebayo Augustine Kutu & Harold Ngalawa, 2017. "Modelling Exchange Rate Volatility and Global Shocks in South Africa," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 13(3), pages 178-193, JUNE.
    • Handle: RePEc:dug:actaec:y:2017:i:3:p:178-193
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