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- W3205547503 abstract "The paper models the performance of GARCH-type models on BRICS exchange rates volatility. The levels of interdependence and dynamic connection among the BRICS financial markets using appropriate univariate time series models were evaluated for the period January 2008 to January 2018. The results revealed the presence of ARCH effects in the BRICS exchange rates. The univariate GARCH models for the BRICS exchange rates were fitted to the data using Student t-distribution. The GARCH (1,1) model found the unconditional volatility for each of the BRICS exchange rates series while EGARCH (1,1) and TGARCH (1,1) models presented the leverage effect. Moreover, the EGARCH (1,1) model illustrated that the asymmetric effects dominate the symmetric effects except for South Africa. The TGARCH (1,1) model on the other hand revealed contrary findings. The paper recommends a study be considered to draw comparison on the different types of GARCH models on the time varying integrated data other than the ones used in the paper." @default.
- W3205547503 created "2021-10-25" @default.
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- W3205547503 date "2021-10-11" @default.
- W3205547503 modified "2023-09-26" @default.
- W3205547503 title "Modeling the Exchange Rate Volatility Using the BRICS GARCH-type Models" @default.
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- W3205547503 doi "https://doi.org/10.5430/ijfr.v12n5p166" @default.
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