Global Volatility Spillover, Transaction Cost and CNY Exchange Rate Parities

Ishfaq, Muhammad; Zhang, Qiong; Abbas, Ghulam

doi:10.2478/mjss-2018-0036

Cited by 4 publications

(1 citation statement)

References 19 publications

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“…Numerous authors have employed different methodologies in order to forecast the exchange rate. Ishfaq (2018) using that methodology concluded that the VIX index could provide a fear prediction of the direction of the CNY exchange rate movement. Also, Prado et al, (2020) proposed a new model which includes several individual models, for example, autoregressive integrated moving average,…”

Section: Literature Reviewmentioning

confidence: 99%

Forecast Foreign Exchange Rate: The Case Study of PKR/USD

AsadUllah

Ahmad

Santos

2020

MJSS

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The main aim of this paper is to forecast the future values of the exchange rate of the USD. Dollar (USD) and Pakistani Rupee (PR). For this purpose was used the ARIMA model to forecast the future exchange rates, because the time series was stationary at first difference. Data reported to five years ranging from the first day of April 2014 to 31st March 2019. The results proved that ARIMA (1,1,9) is the most suitable model to forecast the exchange rate. The difference between the forecasted values and actual values are less than 1%; therefore, it was found that the ARIMA is robust and this model will be helpful for the government functionaries, monetary policymakers, economists and other stakeholders to identify and forecast the future trend of the exchange rate and make their policies accordingly.

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Section: Literature Reviewmentioning

confidence: 99%

Forecast Foreign Exchange Rate: The Case Study of PKR/USD

AsadUllah

Ahmad

Santos

2020

MJSS

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Foreign exchange markets, behavior of options volatility and bid-ask spread around macroeconomic announcements

Ishfaq

Arshad

Durrani

et al. 2022

Cogent Economics & Finance

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Exchange rate volatility transmission in emerging markets

Umoru

Effiong

Umar

et al. 2023

CBSR

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Exchange rate volatility, or a continuous fluctuation in the currency rate has been a major concern in recent years due to its impact on economic activities. No wonder concerns have been raised regarding the connection between exchange rate fluctuations and their effects on the overall economy. The motivation for the study is based on the fact that most emerging economies experiencing inflationary tendencies are more likely to experience a high degree of exchange rate volatility persistence. Such a scenario seems catastrophic to developing economies where large currency movement are more frequent. BEKK-GARCH and DCC-GARCH models were utilized to estimate volatility transmission and persistence respectively in selected African countries. Results show there is presence of spill-over effect in exchange rates of all countries. BEKK-GARCH estimates show that negative effects of exchange rate of one country had deleterious effect on exchange rate of another. We found evidence in favour of bidirectional exchange rate volatility transmission amongst all exchange rates of countries in the study. Dynamic conditional correlation (DCC) model estimates further revealed Ghanaian cedi top list of countries exchange rate volatility persistence followed by naira with a value of 1.0974. Efficient structural transformation is needed to mitigate structural problems that generate inflation in these countries.

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Global Volatility Spillover, Transaction Cost and CNY Exchange Rate Parities

Abstract: The present study examines the intertemporal association between CBOE market volatility indices (VIX)

Cited by 4 publications

References 19 publications

Forecast Foreign Exchange Rate: The Case Study of PKR/USD

Forecast Foreign Exchange Rate: The Case Study of PKR/USD

Foreign exchange markets, behavior of options volatility and bid-ask spread around macroeconomic announcements

Exchange rate volatility transmission in emerging markets

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