- Title
- Forecasting volatility on the rand foreign exchange market
- Creator
- Klaas, Sinoxolo
- Subject
- Foreign exchange rates -- South Africa
- Subject
- Foreign exchange administration
- Subject
- South Africa -- Economic conditions
- Date Issued
- 2015
- Date
- 2015
- Type
- Thesis
- Type
- Masters
- Type
- MCom
- Identifier
- http://hdl.handle.net/10948/7892
- Identifier
- vital:24319
- Description
- Exchange rates are one of the most essential determinants of a country's economic performance in terms of level of trade. Since the exchange rate is one of the best indicators of competitiveness, this study sought to examine the behaviour of the rand against other emerging countries in the South African exchange market. The study explored the trends and estimated the forecasting accuracy of six currency markets using ARCH-family and Random walk models over the period 1994 to 2013.The six currency markets examined were the Rand/Dollar, Rand/Pound, Rand/Euro, Rand/Yen and Rand/Pula. The Rand exchange rates did exhibit the characteristics of volatility clustering and asymmetric effects suggesting volatility of the Rand. Exchange rates tend to rise when there is more bad news in the financial market than good news and positive shocks imply a higher next period conditional variance than negative shocks of the same sign.
- Format
- viii, 115 leaves
- Format
- Publisher
- Nelson Mandela Metropolitan University
- Publisher
- Faculty of Business and Economic Sciences
- Language
- English
- Rights
- Nelson Mandela Metropolitan University
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