IDEAS home Printed from https://ideas.repec.org/p/hhs/umnees/0909.html
   My bibliography  Save this paper

Time Series Modelling of Daily Metical/Rand Exchange Rate Returns, 1996-2014

Author

Listed:
  • Brännäs, Kurt

    (Department of Economics, Umeå School of Business and Economics)

  • Machava, Agostinho

    (CEEG, Faculty of Economics)

Abstract

This paper models daily returns of the exchange rate between the Mozambican Metical (MZN) and the South African Rand (ZAR) over the past 18 years. The results indicate that returns and volatility responses to shocks are asymmetric. They also indicate that the effects of shocks are relatively short lived for the returns and that they are quite persistent for volatility. There is also a tentative discussion and some results about exchange rate returns in the non-bank sector.

Suggested Citation

  • Brännäs, Kurt & Machava, Agostinho, 2015. "Time Series Modelling of Daily Metical/Rand Exchange Rate Returns, 1996-2014," Umeå Economic Studies 909, Umeå University, Department of Economics.
    • Handle: RePEc:hhs:umnees:0909
    as

    Download full text from publisher

    File URL: http://www.econ.umu.se/DownloadAsset.action?contentId=252228&languageId=3&assetKey=ues909
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    MZN; ZAR; Asymmetry; Nonlinearity; Conditional heteroskedasticity; Estimation;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F31 - International Economics - - International Finance - - - Foreign Exchange

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hhs:umnees:0909. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: David Skog (email available below). General contact details of provider: https://edirc.repec.org/data/inumuse.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.