Paper Title :Modelling Currency Volatility of the Top Sugar Exporting Countries: Symmetric Vs Asymmetric Garch Models
Author :Niel Oberholzer, Pierre Venter
Article Citation :Niel Oberholzer ,Pierre Venter ,
(2016 ) " Modelling Currency Volatility of the Top Sugar Exporting Countries: Symmetric Vs Asymmetric Garch Models " ,
International Journal of Management and Applied Science (IJMAS) ,
pp. 116-118,
Volume-2,Issue-9
Abstract : The purpose of this paper is to investigate which of the GARCH-type family models is the best fitting model for
the top sugar export countries in US-dollar value. The research paper will also investigate the presences of the ARCH-effects
in the dataset. The results obtained gives no clear answer on both the best fitting model and the presence of leverage. The
(asymmetric) GJR-GARCH model is the best fitting model for the 10 currency variables except the Pakistan (DLPKR). The
(symmetric) GARCH model is the best fitting model for the Pakistan (DLPKR), and the two sugar future contracts.
Type : Research paper
Published : Volume-2,Issue-9
DOIONLINE NO - IJMAS-IRAJ-DOIONLINE-5850
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Copyright: © Institute of Research and Journals
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Published on 2016-11-01 |
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