IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-01696015.html
   My bibliography  Save this paper

The volatility of exchange rate between the US dollar and African emerging currencies: analysing by GAS-GARCH-Student-t model

Author

Listed:
  • Abdelkader Derbali

    (Institut Supérieur de Gestion Sousse - Institut Supérieur de Gestion Sousse)

  • Aida Sy

    (University of Bridgeport)

Abstract

The fundamental study focuses on estimating the volatility of exchange rate returns between the US dollar and African emerging currencies based on GAS-GARCH-student t model. Moreover, we employ the GAS-GARCH-student-t to update the time-varying parameter using the scaled score function of the likelihood function. Empirically, the paper utilises daily exchange rate data between the US dollar and three African emerging currencies (Egyptian Pound, Nigerian Naira, and South African Rand) spanning from January 1, 2000 to December 31, 2014. Clearly, it is found that the exchange rate returns between the US dollar and African emerging currencies undergo from the volatility clustering phenomenon and that there exists a highly time-varying variance in the exchange rate series that has to be appropriately dealt with, while modelling exchange rates return series. Thus, we can show the existence of high dependence between the US dollar and the African emerging currencies which explain the economic and financial dependency between the USA and the African emerging countries.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Abdelkader Derbali & Aida Sy, 2016. "The volatility of exchange rate between the US dollar and African emerging currencies: analysing by GAS-GARCH-Student-t model," Post-Print hal-01696015, HAL.
    • Handle: RePEc:hal:journl:hal-01696015
    DOI: 10.1504/IJCA.2016.077538
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Other versions of this item:

    More about this item

    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:hal:journl:hal-01696015. 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: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    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.