Forecasting of Exchange Rate Volatility between Naira and US Dollar Using GARCH Models

2014 ◽  
Vol 4 (7) ◽  
Author(s):  
Musa Y. ◽  
Tasi’u. M ◽  
Abubakar Bello
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Volatility ◽  
Garch Models ◽  
Us Dollar

scholarly journals Comparative Analysis of Naira/US Dollar Exchange Rate Volatility using GARCH Variant Modeling

2021 ◽  
Vol 3 (1) ◽  
pp. 18-41
Author(s):  
Agya Atabani Adi ◽  
Amadi W. Kingsley ◽  
David Vincent Hassan
Keyword(s):  
Exchange Rate ◽  
Comparative Analysis ◽  
Exchange Rate Volatility ◽  
Exchange Rate Policy ◽  
Garch Models ◽  
Leverage Effect ◽  
Official Exchange Rate ◽  
Rate Policy ◽  
Us Dollar ◽  
Q Statistic

This paper employed variant GARCH models to examined official, interbank and Bureau de change returns volatilities. Using monthly exchange rate of Naira/USD from January 2004 to September 2020 (2004:1-2020:9), the returns were not normally distributed and stationary at level. Ljung-Box Q statistic and Ljung-Box Q2 statistics of power transformed using power 0.25, 0.5 and 0.75 for conditional heteroscedasticity for lags of 6, 12 and 20 indicated present of conditional heteroscedascity in all returns. The study found exchange rate volatility in Official, interbank and Bureau de change exchange rate returns were persistent. However, Bureau de change return was more persistent while official exchange rate return was the least persistent. Also, leverage effect exist in all the three exchange rate returns and asymmetric model were the best model for estimating exchange rate return while IGARCH was the worst model to estimate exchange rate return in Nigeria. There is need to incorporate news impact when developing exchange rate policy by monetary authority in Nigeria.

scholarly journals Exchange Rate Volatility: Asymmetric Effects

2011 ◽  
Vol 19 (3) ◽  
Author(s):  
Lucy Dobano
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Risk Premium ◽  
Exchange Rate Volatility ◽  
Common Factors ◽  
Parametric Models ◽  
Time Varying ◽  
Asymmetric Effects ◽  
The Us ◽  
Us Dollar

This paper studies the evolution of the daily exchange rates volatilities of five european currencies against the US dollar. The aim of this paper is to perform whether there are common factors in the evolution of these exchange rates flexibles during stability and unstability periods. Several alternative models have been proposed in the literature o to the model time varying volatilities. In this paper, we fit two parametric models, GARCH and GJR-GARCH for the years 1992 to 1993 and 1995 to 1997. We will show how these models within-sample estimates of volatility can be captured asymetric effects of news, specially in periods with high speculation. Summarizing, we can conclude that these results have the atractive over the exchange rate flexible markets, particularly in the risk premium exchange rate manage.

scholarly journals Modeling Volatility and Daily Exchange Rate Movement in Nigeria

2019 ◽  
pp. 264-275
Author(s):  
Ejem Chukwu Agwu ◽  
Ogbonna Udochukwu Godfrey
Keyword(s):  
Exchange Rate ◽  
Central Bank ◽  
Exchange Rate Volatility ◽  
Conditional Variance ◽  
Bad News ◽  
Risk Averse ◽  
Exchange Rate Movement ◽  
Excess Volatility ◽  
Us Dollar ◽  
Modeling Volatility

This study modeled volatility and daily exchange rate movement in Nigeria with daily exchange rate between Nigeria Naira and US Dollar from January 2, 2001 to May 20, 2019 collected from the Central Bank of Nigeria (CBN). The results of the estimated models revealed that conditional variance (volatility) has positive and significant relationship with exchange rate returns between Nigeria Naira and US Dollars, which corroborates the theory that predicts positive relationship between return and volatility for risk averse investors. Also found that exchange rate volatility between Naira / US Dollar is persistent. It was also discovered that goods news produces more volatility than bad news of equal magnitude. The researchers therefore suggested that the Central Bank of Nigeria should always proffer timely intervention to reduce the volatility persistence. This will go a long way to counteract or moderate the excess volatility between Naira and US Dollar transactions.

scholarly journals Real Time Data

2018 ◽  
Vol 4 (3) ◽  
pp. 147
Author(s):  
Arlind Rama ◽  
Ilir Vika
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Foreign Currency ◽  
Developing Economies ◽  
Exchange Rate Volatility ◽  
Economic News ◽  
Economic Fundamentals ◽  
Us Dollar ◽  
The Impact ◽  
Exchange Rates Volatility

Interpretation of exchange rate volatility in the light of economic fundamentals comprises an issue of interest for policymakers when it comes to implementing the monetary policy. Understanding the impact of economic news on the Lek exchange rate against two main hard currencies, Euro and US dollar, would serve to better orient the monetary policy and forex market agents positioning in time. Exchange rates volatility on economic news in short-term is an often discussed phenomenon in the economic literature, but through this material we tend to measure these effects in the Albanian foreign currency market and contribute in the literature interpreting foreign currency markets volatility in developing economies. Very often, domestic foreign exchange movements are attributed to developments in large international markets. In the case of Albanian Lek volatility analysis, we tend to find answers regarding the importance of economic news coming from the two main economies in focus, Eurozone and the US. Furthermore, we investigate the importance of the economic information flow in Albania in determining the Lek exchange rate against Euro and US dollar. For a period in focus from January 2007 until July 2012, we try to understand if the exchange rate volatility has been a result of economic fundamentals or financial markets stress related economic news.

The Stochastic Character of Japanese Exchange Rates

2004 ◽  
Vol 5 (1) ◽  
pp. 77-90
Author(s):  
Nikiforos Laopodis
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Exchange Rate Volatility ◽  
Transmission Mechanism ◽  
Good News ◽  
Volatility Transmission ◽  
Volatility Spillovers ◽  
The Us ◽  
Us Dollar ◽  
Multivariate Exponential

The paper explores the stochastic character of six yen exchange rates with respect to the Canadian dollar, French franc, Italian lira, German mark, British pound and the US dollar for the 1973-2002 periods. The methodological design is the multivariate Exponential GARCH model, which is capable of capturing asymmetries in the exchange rate volatility transmission mechanism. The results point to significant reciprocal and positive volatility spillovers after the Plaza Accord of 1985. Furthermore, the finding of absence of asymmetry in the same period implies that bad and/or good news in a particular market positively and equally affects volatility in the next market.

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