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Modelling exchange rate volatility dynamics: Empirical evidence from South Africa

Author

Listed:
  • Cyril May
  • Greg Farrell

Abstract

In this paper, we extend the literature on modelling exchange rate volatility in South Africa by estimating a range of models, including some that attempt to account for structural breaks and long memory. We examine the key nominal exchange rates of the South African rand and replicate common findings in the literature; particularly that volatility […]

Suggested Citation

  • Cyril May & Greg Farrell, 2017. "Modelling exchange rate volatility dynamics: Empirical evidence from South Africa," Working Papers 705, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:705
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    File URL: https://econrsa.org/wp-content/uploads/2022/06/working_paper_705.pdf
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    Cited by:

    1. Saint Kuttu & Joshua Yindenaba Abor & Godfred Amewu, 2024. "Long memory in volatility in foreign exchange markets: evidence from selected countries in Africa," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 48(2), pages 462-482, June.

    More about this item

    Keywords

    Computer Programming; economic growth; Healthcare; Quantitative Methods; Time Series Analysis;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • 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
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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