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Modeling Exchange Rate Volatility in Selected WAMZ Countries: Evidence from Symmetric and Asymmetric GARCH Models

Author

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  • Perekunah B. Eregha

    (Department of Economics, SMSS, Pan-Atlantic University, Lagos, Nigeria)

  • Festus O. Egwaikhide

    (Department of Economics, University of Ibadan, Nigeria.)

  • Emeka Osuji

    (Department of Economics, SMSS, Pan-Atlantic University, Lagos, Nigeria)

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.

Suggested Citation

  • Perekunah B. Eregha & Festus O. Egwaikhide & Emeka Osuji, 2020. "Modeling Exchange Rate Volatility in Selected WAMZ Countries: Evidence from Symmetric and Asymmetric GARCH Models," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 70(1-2), pages 58-80, January-J.
    • Handle: RePEc:spd:journl:v:70:y:2020:i:1-2:p:58-80
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    References listed on IDEAS

    as
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    Cited by:

    1. Rachna Mahalwala, 2022. "Analysing exchange rate volatility in India using GARCH family models," SN Business & Economics, Springer, vol. 2(9), pages 1-16, September.

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    More about this item

    Keywords

    Exchange Rate; Exchange Rate Volatility; Symmetric GARCH Models; Asymmetric GARCH Model; Leverage Effect;
    All these keywords.

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • F30 - International Economics - - International Finance - - - General
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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