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Modelling Fiji-US exchange rate volatility

journal contribution
posted on 2024-11-01, 06:08 authored by Paresh Narayan, Seema Wati Dhar Narayan, Arti Prasad
In this article, we examine the Fiji-US exchange rate volatility using daily data for the period 2000 to 2006. Our modelling framework is based on the EGARCH model. We find robust evidence of conditional shocks having a positive effect on exchange rate volatility, shocks having asymmetric effects on exchange rate volatility and shocks having a transitory effect on exchange rate volatility.

History

Journal

Applied Economics Letters

Volume

16

Issue

8

Start page

831

End page

834

Total pages

4

Publisher

Routledge

Place published

United Kingdom

Language

English

Former Identifier

2006011887

Esploro creation date

2020-06-22

Fedora creation date

2010-11-19

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