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Modelling Fiji–US exchange rate volatility

Author:
Narayan, Paresh Kumar   Narayan, Seema   Prasad, Arti  


Journal:
Applied Economics Letters


Issue Date:
2009


Abstract(summary):

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.


Page:
831-834


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