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Rwanda Currency Market Risk Analysis: Evidence From Asymmetry Effects

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  • Charline Uwilingiyimana
  • Abdou Kâ Diongue

Abstract

This study evaluates the presence and characteristics of the asymmetric effects and volatility clustering in Rwanda currency market. Under GARCH types model, Value at Risk models are estimated by assuming that the residuals follow normal, student t and skewed student t distributions. Backtesting results for symmetric and asymmetric models have been done based on Kupiec and Christoffersen test. The results from Backtesting show that most accurate VaR estimate are obtained from asymmetry GARCH models and provide evidence on the existence of the asymmetric effect in the Rwanda currency market and the other currencies. JEL classification numbers: C22, C49, C52, E44

Suggested Citation

  • Charline Uwilingiyimana & Abdou Kâ Diongue, 2020. "Rwanda Currency Market Risk Analysis: Evidence From Asymmetry Effects," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 9(2), pages 1-2.
    • Handle: RePEc:spt:stecon:v:9:y:2020:i:2:f:9_2_2
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    More about this item

    Keywords

    currency market; GARCH; asymmetric effects; Value at Risk and Backtesting.;
    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
    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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