DOIONLINE 
DOIONLINE Publish In |
International Journal of Management and Applied Science (IJMAS)-IJMAS |
 Journal Home Volume Issue |
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Issue |
Volume-2,Issue-9 ( Sep, 2016 ) | |||||||||
Paper Title |
Modelling Currency Volatility of the Top Sugar Exporting Countries: Symmetric Vs Asymmetric Garch Models | |||||||||
Author Name |
Niel Oberholzer, Pierre Venter | |||||||||
Affilition |
University of Johannesburg, Department of Finance and Investment Management, South Africa | |||||||||
Pages |
116-118 | |||||||||
Abstract |
The purpose of this paper is to investigate which of the GARCH-type family models is the best fitting model for the top sugar export countries in US-dollar value. The research paper will also investigate the presences of the ARCH-effects in the dataset. The results obtained gives no clear answer on both the best fitting model and the presence of leverage. The (asymmetric) GJR-GARCH model is the best fitting model for the 10 currency variables except the Pakistan (DLPKR). The (symmetric) GARCH model is the best fitting model for the Pakistan (DLPKR), and the two sugar future contracts. | |||||||||
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