Browsing Faculty of Economic and Management Sciences by Subject "ARCH"
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Is the South African exchange rate volatile? Application of the arch framework
(Virtus Interpress, 2015)This study applies the autoregressive conditional heteroscedasticity (ARCH) model to forecast exchange rate volatility in South Africa for the period 1990Q1 to 2014Q2. The ARCH (1) and ARCH (2) models were constructed using ...