Modeling Exchange Rate Volatility of ASEAN Member Countries

Abstract

This study investigates the volatility of exchange rates in nine selected ASEAN member countries, using five forms of the GARCH model. Daily data was sourced from the Bank of Thailand website database, as Baht per foreign currency, over the period from October 2, 2018 to October 7, 2022. This data included Malaysia Ringgit, Singapore Dollar, Brunei Darussalam Dollar, Philippines Peso, Indonesia Rupiah, Myanmar Kyat, Cambodia Riel, Laos Kip, and Vietnam Dong. According to the findings of this study, only eight of the exchange rates were suitable for analysis. In addition, the GARCH ( 1,1) , TGARCH ( 1,1) , and PGARCH ( 1,1) models were determined to be the most applicable, and leverage effects were observed in certain exchange rates. To mitigate the risk associated with trade and investment activities, investors should closely monitor news that is likely to affect the value of exchange rates. In order to design actions that promote exchange rate stability, government agents, on the other hand, must ensure they are current on such news.