The Asymmetric Effect in the Volatility of the South African Rand
Journal Title: Academic Journal of Economic Studies - Year 2017, Vol 3, Issue 3
Abstract
This study investigates the behaviour of the volatility in the South African Rand/USD exchange rate and its impact on the value of the Rand between 2001 and 2017. The key objectives were to assess the impact of its volatility on its market value, and determine the presence of asymmetric effect in the times path of the volatility, resulting from shocks to its market value. From the estimates of our EGARCH-M (1,1) model, we found the value of the Rand to respond negatively to volatility it is time path, suggesting that the Rand appreciates more in value under conditions of less tranquillity. In addition, we found evidence of asymmetric effect, of shocks to the conditional mean, in the conditional variance of the Rand. The asymmetric effect is such that negative shocks to the conditional mean, which causes the Rand to appreciate, have more impact on next point volatility in the Rand than positive shocks of the same magnitude, which causes depreciation in its value.
Authors and Affiliations
Idoko Ahmed Itodo, Ojonugwa Usman, Michael Maju Abu
Keywords
Related Articles
- EP ID EP201944
- DOI -
- Views 109
- Downloads 0
The Impacts of Tax Reforms on REITs. An International Empirical Study
Tax exemption is one of the REIT’s most unique characteristics. To improve the development of REITs market, the Congress had passed several Tax Reform Acts. Plenty of previous study had already explored the effects of ta...
Global Integration, Non-Oil Export and Economic Growth in Nigeria
This study focuses on global integration, non-oil export and economic growth in Nigeria. The direct and interaction effect of the both openness variables and non-oil export on economic growth in Nigeria is investigated u...
Analysing the Consumer Behaviour of Online Health Services
Because the medical sector is a highly conditioned technology, it presents some challenges for health service providers in terms of developing and implementing online services strategies. This article presents the featur...
Evolution of Real Earnings to Residents` Deposits According to Maturity during the Period 2011-2015. Study Case Romania vs. Turkey
This article is analyzing the evolution of real earnings obtained by the credit institutions in Romania and Turkey during the period 2011-2015 based on the reports submitted by the credit institutions according to the le...
Considerations on the Integration of Environmental Information in the Entity's Financial Accounting System
Starting with the ’70, environmental accounting was prone to debates within the scientific community. During the different stages in the environment accounting evolution, the development of this concept took place around...