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Multivariate Analysis of East African Currency Exchange Rate Dynamics

Author

Listed:
  • Yegnanew A. Shiferaw

    (University of Johannesburg, Department of Statistics)

Abstract

The main aim of this paper is to investigate the conditional correlations between daily returns of 6 currencies of East African countries relative to the US dollar. We fitted the CCC-GARCH, DCC-GARCH and ADCC-GARCH models on the daily returns conditional covariance matrix. The findings of this paper provide evidence that the correlation parameters between the pair of exchange rate returns are significant. This shows that the conditional correlations among the six East African countries exchange rate returns change with time. Lastly, this paper provides insight into the nature of correlation among East African currency exchange rates over the sample period.

Suggested Citation

  • Yegnanew A. Shiferaw, 2019. "Multivariate Analysis of East African Currency Exchange Rate Dynamics," Annals of Economics and Finance, Society for AEF, vol. 20(2), pages 587-610, November.
    • Handle: RePEc:cuf:journl:y:2019:v:20:i:2:shiferaw
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    References listed on IDEAS

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    More about this item

    Keywords

    Dynamic conditional correlations; East African currency; Exchange rate volatility; Multivariate GARCH;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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