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dc.contributor.authorMokoma, Thato Julius
dc.contributor.authorMoroke, Ntebogang Dinah
dc.date.accessioned2017-10-04T08:09:16Z
dc.date.available2017-10-04T08:09:16Z
dc.date.issued2015
dc.identifier.citationMokoma, T.J. & Moroke, N.D. 2015. Is the South African exchange rate volatile? Application of the arch framework. Risk Governance and Control: Financial Markets & Institutions, 5(1):110-122. [http://dx.doi.org/10.22495/rgcv5i1c1art4]en_US
dc.identifier.issn2077-429X
dc.identifier.issn2077-4303 (Online)
dc.identifier.urihttp://hdl.handle.net/10394/25739
dc.identifier.urihttp://dx.doi.org/10.22495/rgcv5i1c1art4
dc.description.abstractThis 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 four variables; namely, exchange rate, gross domestic product, inflation and interest rates. Upon addressing the issue of stationarity, the models were fitted and the ARCH (1) model was found to be fit. This model revealed a high volatility of exchange rate compared to the ARCH (2) model. Prior to forecasting, the selected model was subjected to a battery of diagnostics tests and was found to be stable and well specified. The forecasts from the ARCH (1) model proved that in the near future, exchange rate will not be highly volatile though SA will experience depreciation in its currency.en_US
dc.language.isoenen_US
dc.publisherVirtus Interpressen_US
dc.subjectExchange Rate Volatilityen_US
dc.subjectARCHen_US
dc.subjectMacroeconomic Variablesen_US
dc.subjectStationarityen_US
dc.titleIs the South African exchange rate volatile? Application of the arch frameworken_US
dc.typeArticleen_US
dc.contributor.researchID21814139 - Mokoma, Thato Julius
dc.contributor.researchID20561229 - Moroke, Ntebogang Dinah


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