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- Title
Modelling Exchange Rate Volatility and Global Shocks in South Africa.
- Authors
Kutu, Adebayo Augustine; Ngalawa, Harold
- 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.
- Subjects
FOREIGN exchange rates; ECONOMIC policy; FOREIGN exchange accounting; GARCH model; ECONOMIC anthropology
- Publication
Acta Universitatis Danubius: Œconomica, 2017, Vol 13, Issue 3, p178
- ISSN
2065-0175
- Publication type
Article