Modelling Fiji-US Exchange Rate Volatility

Posted: 10 Jun 2012

See all articles by Paresh Kumar Narayan

Paresh Kumar Narayan

Deakin University - School of Accounting, Economics and Finance

Seema Narayan

affiliation not provided to SSRN

Arti Prasad

affiliation not provided to SSRN

Date Written: 2009

Abstract

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.

Suggested Citation

Narayan, Paresh Kumar and Narayan, Seema and Prasad, Arti, Modelling Fiji-US Exchange Rate Volatility (2009). Applied Economics Letters, Vol. 16(8), pp. 831-834, 2009, Available at SSRN: https://ssrn.com/abstract=2080593

Paresh Kumar Narayan (Contact Author)

Deakin University - School of Accounting, Economics and Finance ( email )

221 Burwood Highway
Burwood, Victoria 3215
Australia

Seema Narayan

affiliation not provided to SSRN ( email )

Arti Prasad

affiliation not provided to SSRN ( email )

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